-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WUjFP1PROadKjFTGp/HS8VQNH4A6hS3fKVnqpywghFAVJjuyCZblvAtlc0xq2oej ClJ0XpDycdOReX6LZgJT0g== 0000935069-01-500345.txt : 20010816 0000935069-01-500345.hdr.sgml : 20010816 ACCESSION NUMBER: 0000935069-01-500345 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010630 FILED AS OF DATE: 20010815 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ENDEAVOR SERIES TRUST CENTRAL INDEX KEY: 0000847254 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 336070302 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-05780 FILM NUMBER: 1715852 BUSINESS ADDRESS: STREET 1: 1100 NEWPORT CENTER DR STE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 BUSINESS PHONE: 6172483402 MAIL ADDRESS: STREET 1: 2101 EAST COAST HIGHWAY STREET 2: SUITE 300 CITY: CORONA DEL MAR STATE: CA ZIP: 92625 N-30D 1 g01-0820endeavor.txt ENDEAVOR SAR 0601 SHAREHOLDER LETTER Dear Shareholders: Supposedly, the "interesting" in the old proverb "May you live in interesting times" means dangerous or turbulent. That's why the expression is often considered to be something of a curse. The point of the phrase, however, is not intended to be harmful--it is meant to be ironic. On a very basic level, just think how difficult and frustrating it is now to choose among a myriad of investment options. I suspect we've all longed occasionally the last few years for simpler, less "interesting" times. Truth is, though, we are in the midst of ferociously interesting times, not the least of which being the last six months. Indeed, inside the period the markets plunged to depths only the most pessimistic of market watchers could have expected, only to come roaring back...and then fade once again. Maybe the hardest part about living IN interesting times is simply living THROUGH interesting times. Let's face it, the last few years have simply been phenomenal. The American economy has been, and still is, experiencing a once-in-a-century acceleration of innovation that has propelled output, corporate profits, and stock prices at a pace not before seen. And, as we all know now, that boom inevitably led to the full-blown speculative bubble of 1999. And, as we also all know now, the post-bubble correction of 2000/2001 has not been fun. It's been challenging, this "righting process". And the challenge--to the public and to the professional, to the individual and to the institution--is staying true to an investment strategy. If you haven't done so already, make time to sit down with your financial advisor and revisit your personal plan for diversification and asset allocation. Know that he or she is an important ally in your long-term financial success. ENDEAVOR SERIES TRUST AND RELATED INDICES RETURNS FOR THE SIX MONTHS ENDED JUNE 30, 2001 WERE AS FOLLOWS: Dreyfus Small Cap Value Portfolio 28.46% PRIMARY BENCHMARK: Russell 2000 Index 6.94% Capital Guardian Value Portfolio 4.67% T. Rowe Price Equity Income Portfolio 2.96% PRIMARY BENCHMARK: Russell 1000 Value Index -7.05% Dreyfus U.S. Government Securities Portfolio 2.89% PRIMARY BENCHMARK: Lehman Aggregate Bond Index 3.62% Endeavor High Yield Portfolio 2.62% PRIMARY BENCHMARK: Lehman High Yield Index 3.93% Endeavor Money Market Portfolio 2.33% PRIMARY BENCHMARK: 90 Day T-Bill 2.13% Capital Guardian U.S. Equity Portfolio -0.60% Endeavor Enhanced Index Portfolio -5.60% Endeavor Asset Allocation Portfolio -6.11% PRIMARY BENCHMARK: S&P 500 Index -6.69% Capital Guardian Global Portfolio -5.10% PRIMARY BENCHMARK: MSCI World Index -14.93% SHAREHOLDER LETTER (CONTINUED) ENDEAVOR SERIES TRUST AND RELATED INDICES RETURNS FOR THE SIX MONTHS ENDED JUNE 30, 2001 (CONTINUED) T. Rowe Price Growth Stock Portfolio -7.65% Jennison Growth Portfolio -13.10% Endeavor Janus Growth Portfolio -16.45% PRIMARY BENCHMARK: BARRA Growth -11.04% T. Rowe Price International Stock Portfolio -16.48% PRIMARY BENCHMARK: MSCI EAFE Index -14.87% A sound investment plan will be crucial as we cope with a radically different world than the one visible a year ago. The months ahead will doubtlessly present huge challenges, from managing the economy to integrating technology to valuing stocks. In the short run, much of which will be dangerous and turbulent, a great deal will turn on our optimism and resilience. In the long run, though, if we keep sight of the market's inevitable potential for long-term gain, we will flourish. That's the ultimate reward for living in interesting times. Throughout it all, we'll be there to deliver you a solid investment product. Though your task of financial planning right now is formidable, so too is your potential for reward. We appreciate the opportunity to help you with both. Sincerely, /S/Vincent J. McGuinness, Jr. Vincent J. (VJ) McGuinness, Jr. President Endeavor Series Trust July 31, 2001 2 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 96.1% ADVERTISING -- 0.1% 4,100 JC Decaux S.A.+ ............................. $ 54,841 ------------ AEROSPACE AND DEFENSE -- 1.7% 28,500 BAE Systems Plc ............................. 136,482 10,900 Raytheon Company ............................ 289,395 4,000 United Technologies Corporation ............. 293,040 ------------ 718,917 ------------ AUTO & TRUCKS -- 3.3% 3,100 Bayerische Motoren Werke (BMW) AG .................................. 102,612 6,500 DaimlerChrysler AG .......................... 299,110 2,000 General Motors Corporation .................. 128,700 2,300 Magna International, Inc., Class A .......... 141,299 52,000 Mitsubishi Motors Corporation+ .............. 173,034 3,100 Navistar International Corporation+ ......... 87,203 28,000 Nissan Motor Company, Ltd.+ ................. 193,304 300 PSA Peugeot Citroen ......................... 81,448 16,000 Suzuki Motor Corporation .................... 212,965 ------------ 1,419,675 ------------ BANKING AND FINANCE -- 5.9% 2,145 ABN AMRO Holding NV ......................... 40,295 11,600 Bank of America Corporation ................. 696,348 829 Credit Suisse Group, Registered Shares ......................... 136,295 1,200 Deutsche Bank AG ............................ 85,740 7,000 First Union Corporation ..................... 244,580 7,500 FleetBoston Financial Corporation ........... 295,875 8 UFJ Holdings, Inc. .......................... 43,042 5,000,000 UFJ International Finance Trust ............. 42,697 18,900 Washington Mutual, Inc. ..................... 709,695 4,700 Wells Fargo & Company ....................... 218,221 ------------ 2,512,788 ------------ BREWERY -- 0.8% 1,600 Anheuser-Busch Companies, Inc. .............. 65,920 6,750 Heineken NV ................................. 272,174 ------------ 338,094 ------------ BROADCAST, RADIO & TV -- 1.6% 8,450 Cablevision Systems Corporation- Rainbow Media Group+ ...................... 218,010 9,781 Granada Compass Plc ......................... 20,531 10,600 USA Networks, Inc.+ ......................... 298,814 2,900 Viacom, Inc., Class B+ ...................... 150,075 ------------ 687,430 ------------ BUILDING AND CONSTRUCTION -- 2.0% 7,000 Bouygues S.A ................................ 236,565 19,000 Cheung Kong Holdings, Ltd. .................. 207,061 1,562 Holcim Ltd., Class B ........................ 318,075 9,000 Sun Hung Kai Properties, Ltd. ............... 81,062 ------------ 842,763 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ BUSINESS SERVICES -- 0.2% 7,500 Vedior NV ................................... $ 67,937 ------------ CHEMICALS -- 0.7% 2,100 Air Products and Chemicals, Inc. ............ 96,075 12,500 IMC Global, Inc. ............................ 127,500 2,000 Shin-Etsu Chemical Company, Ltd. ............ 73,447 ------------ 297,022 ------------ COMMERCIAL SERVICES -- 0.1% 1,500 Ecolab, Inc. ................................ 61,455 ------------ COMPUTER SERVICES AND SOFTWARE-- 6.3% 8,800 ASM Lithography, Holding NV+ ................ 197,345 3,600 Brocade Communications Systems, Inc.+ ............................ 158,364 5,400 Cadence Design Systems, Inc.+ . ............. 100,602 4,000 CheckFree Corporation+ ...................... 140,280 22,900 Cisco Systems, Inc.+ ........................ 416,780 10,900 Compaq Computer Corporation ................. 168,841 12,000 Dimension Data Holdings Plc+ ................ 45,568 9,000 DoubleClick, Inc.+ .......................... 125,640 11,100 Hewlett-Packard Company ..................... 317,460 4,200 Intel Corporation ........................... 122,850 1,800 Juniper Networks, Inc.+ ..................... 55,980 9,300 Macromedia, Inc.+ ........................... 167,400 2,500 Microsoft Corporation+ ...................... 182,500 3,700 PMC-Sierra, Inc.+ ........................... 114,959 1,900 Siebel Systems, Inc.+ ....................... 89,110 3,200 Thomson Corporation ......................... 107,963 2,700 VeriSign, Inc.+ ............................. 162,027 ------------ 2,673,669 ------------ CONSUMER PRODUCTS -- 1.3% 9,000 American Greetings Corporation, Class A ...................... 99,000 9,900 PepsiCo, Inc. ............................... 437,580 ------------ 536,580 ------------ DIVERSIFIED MANUFACTURING -- 2.2% 6,100 Bombardier, Inc., Class B ................... 91,647 6,800 Illinois Tool Works, Inc. ................... 430,440 24,000 Mitsubishi Heavy Industries, Ltd. ........... 109,497 4,900 Norsk Hydro A.S.A. .......................... 207,589 8,700 Smiths Group Plc ............................ 100,945 ------------ 940,118 ------------ DIVERSIFIED OPERATIONS -- 3.8% 7 Berkshire Hathaway, Inc., Class A+ .......... 485,800 2,700 Disney (Walt) Company ....................... 78,003 15,000 Hutchison Whampoa, Ltd. ..................... 151,449 121,000 Li & Fung, Ltd. ............................. 198,574 2,400 Siemens AG .................................. 140,395 17,000 Swire Pacific Ltd., Class A ................. 88,055 6,200 Tyco International, Ltd. .................... 337,900 4,500 The Williams Companies, Inc. ................ 148,275 ------------ 1,628,451 ------------ See Notes to Financial Statements. 3 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) DRUGS -- 6.8% 28,000 AstraZeneca Group Plc ....................... $ 1,293,888 2,000 Forest Laboratories, Inc.+ .................. 142,000 13,800 Pfizer, Inc. ................................ 552,690 7,800 Sanofi-Synthelabo S.A. ...................... 511,750 19,000 Shionogi & Company, Ltd. .................... 396,101 ------------ 2,896,429 ------------ DURABLE GOODS - WHOLESALE -- 0.2% 2,400 Grainger (W.W.), Inc. ....................... 98,784 ------------ ELECTRIC UTILITIES -- 1.1% 8,800 AES Corporation+ ............................ 378,840 7,500 Edison International+ ....................... 83,625 ------------ 462,465 ------------ ELECTRONIC COMPONENTS -- 3.1% 1,900 Advantest Corporation ....................... 162,859 2,700 Epcos AG+ ................................... 146,287 900 Hirose Electric Company, Ltd. ............... 68,556 86,000 Johnson Electric Holdings, Ltd. ............. 117,980 2,200 Linear Technology Corporation ............... 97,284 3,000 Murata Manufacturing Company, Ltd. ............................. 199,414 3,000 Taiyo Yuden Company, Ltd. ................... 79,862 6,100 Teradyne, Inc.+ ............................. 201,910 4,200 Tokyo Electron, Ltd. ........................ 254,259 ------------ 1,328,411 ------------ ELECTRONICS -- 2.7% 7,000 Agilent Technologies, Inc.+ ................. 227,500 5,100 Koninklijke (Royal) Philips Electronics NV ............................ 135,181 18,000 NEC Corporation ............................. 243,193 2,260 Samsung Electronics, Sponsored GDR+ ............................ 177,297 4,100 Sony Corporation ............................ 269,573 2,000 Tokyo Seimitsu Company, Ltd. ................ 102,954 ------------ 1,155,698 ------------ ELECTRONICS - SEMICONDUCTOR -- 6.1% 7,000 Advanced Micro Devices, Inc.+ . ............. 202,160 11,200 Agere Systems, Inc., Class A+ . ............. 84,000 7,100 Altera Corporation+ ......................... 205,900 6,800 Applied Materials, Inc.+ .................... 333,880 23,000 ARM Holdings Plc+ ........................... 86,853 17,500 ATI Technologies, Inc. ...................... 163,519 3,700 Broadcom Corporation, Class A+ .............. 158,212 3,000 Infineon Technologies AG, ADR+ .............. 70,350 6,100 KLA-Tencor Corporation+ ..................... 356,667 1,800 Novellus Systems, Inc.+ ..................... 102,222 1,200 Rohm Company, Ltd. .......................... 186,472 3,700 STMicroelectronics NV ....................... 125,800 VALUE SHARES (NOTE 1) - ----------- ------------ ELECTRONICS - SEMICONDUCTOR -- (CONTINUED) 17,800 Taiwan Semiconductor Manufacturing Company, Ltd., Sponsored ADR+ ...................... $ 270,382 4,500 Texas Instruments, Inc. ..................... 141,750 3,000 Xilinx, Inc.+ ............................... 123,720 ------------ 2,611,887 ------------ EXPLORATION & PRODUCTION -- 2.9% 7,200 Baker Hughes, Inc. .......................... 241,200 25,500 BHP, Ltd. ................................... 134,621 27,160 BHP Billiton, Ltd+ .......................... 146,973 5,400 Fluor Corporation+ .......................... 243,810 3,700 NRG Energy, Inc.+ ........................... 81,696 2,000 OAO Lukoil Holding, Sponsored ADR ............................. 95,930 2,300 Weatherford International, Inc.+ ............ 110,400 40,000 WMC, Ltd. ................................... 194,708 ------------ 1,249,338 ------------ FINANCIAL SERVICES -- 4.1% 1,300 Aiful Corporation ........................... 117,267 5,600 Citigroup, Inc. ............................. 295,904 7,500 Household International, Inc. ............... 500,250 12,000 Investors Group, Inc. ....................... 169,219 11,000 Nomura Securities Company, Ltd. ............. 210,800 1,000 Orix Corporation ............................ 97,261 4,900 USA Education, Inc. ......................... 357,700 ------------ 1,748,401 ------------ FOOD AND KINDRED PRODUCTS -- 3.7% 9,400 Campbell Soup Company ....................... 242,050 3,600 General Mills, Inc. ......................... 157,608 1,000 Groupe Danone ............................... 137,229 2,500 Heinz (H.J.) Company ........................ 102,225 10,100 Kellogg Company ............................. 292,900 6,000 Kraft Foods, Inc.+ .......................... 186,000 470 Nestle S.A. ................................. 99,891 800 Promise Company, Ltd. ....................... 65,942 22,500 Unilever Plc ................................ 189,549 20,300 Woolworths, Ltd. ............................ 113,461 ------------ 1,586,855 ------------ HEALTH CARE SERVICES -- 0.5% 4,700 Medtronic, Inc. ............................. 216,247 ------------ INSURANCE -- 3.7% 7,000 Allstate Corporation ........................ 307,930 2,050 American International Group, Inc. .......... 176,300 7,000 Assicurazioni Generali S.p.A. ............... 210,372 4,500 Cincinnati Financial Corporation ............ 177,750 35,000 Mitsui Marine and Fire Insurance Company, Ltd. ............................. 179,047 16,500 Prudential Plc .............................. 199,802 21,334 QBE Insurance Group, Ltd. ................... 128,021 105 Swiss Re .................................... 209,842 ------------ 1,589,064 ------------ See Notes to Financial Statements. 4 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) LEISURE -- 1.3% 1,900 Accor S.A. .................................. $ 80,183 4,300 Carnival Corporation ........................ 132,010 1,800 Nintendo Company, Ltd. ...................... 327,625 ------------ 539,818 ------------ MACHINERY -- 0.4% 2,400 Aixtron AG .................................. 68,877 2,300 Dover Corporation ........................... 86,595 300 Schneider Electric S.A. ..................... 16,584 ------------ 172,056 ------------ MEDIA AND COMMUNICATIONS -- 3.9% 6,150 AOL Time Warner, Inc.+ ...................... 325,950 20,000 AT&T Corporation - Liberty Media Corporation, Class A+ . ............. 349,800 10,500 Charter Communications, Inc., Class A+ .................................. 245,175 7,300 Pearson Plc ................................. 120,327 27,000 Publishing & Broadcasting, Ltd. ............. 124,568 14,000 Reuters Group Plc ........................... 181,736 5,100 Societe Television Francaise 1 .............. 148,781 2,800 TMP Worldwide, Inc.+ ........................ 165,508 ------------ 1,661,845 ------------ MEDICAL-BIOMEDICAL -- 0.5% 2,800 Applera Corporation- Applied Biosystem ................................. 74,900 2,600 Genentech, Inc.+ ............................ 143,260 ------------ 218,160 ------------ MEDICAL PRODUCTS -- 1.8% 700 AstraZeneca Group Plc, ADR .................. 32,725 5,500 GlaxoSmithKline Plc+ ........................ 154,705 4,800 Guidant Corporation+ ........................ 172,800 10,880 Novartis AG+ ................................ 393,771 ------------ 754,001 ------------ METALS -- 0.8% 2,500 Alcan Aluminum, Ltd. ........................ 105,103 2,900 Alcoa, Inc. ................................. 114,260 8,000 ASSA Abloy AB, Class B ...................... 114,277 ------------ 333,640 ------------ NON-US BANKS -- 1.8% 14,400 Australia & New Zealand Banking Group, Ltd. ............................... 123,683 11,500 Banco Bilbao Vizcaya Argentaria S.A. ........................... 148,759 6,000 Bank of Nova Scotia ......................... 179,499 13,800 ForeningsSparbanken AB ...................... 159,742 13,000 Halifax Group Plc ........................... 150,289 ------------ 761,972 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ OFFICE SUPPLIES -- 0.4% 4,500 Societe BIC S.A. ............................ $ 163,811 ------------ OPTICAL -- 0.2% 1,400 Hoya Corporation ............................ 88,682 ------------ PAPER AND ALLIED PRODUCTS -- 0.8% 17,900 Abitibi-Consolidated, Inc. .................. 136,825 3,100 International Paper Company ................. 110,670 3,000 Uni-Charm Corporation ....................... 97,181 ------------ 344,676 ------------ PETROLEUM -- 2.4% 1,500 Chevron Corporation ......................... 135,750 7,500 ENI S.p.A. .................................. 91,429 900 Exxon Mobil Corporation ..................... 78,615 57,200 Shell Transport & Trading Company Plc ............................... 475,440 2,000 Shell Transport & Trading Company Plc, ADR .......................... 100,680 19,000 Statoil ASA+ ................................ 140,431 ------------ 1,022,345 ------------ RETAIL -- 4.0% 13,000 Circuit City Stores-Circuit City Group ...... 234,000 126 Compagnie Financiere Richemont AG, Units A ..................... 322,475 3,700 Industria de Diseno Textil, S.A.+ ........... 59,044 5,000 Jusco Company, Ltd. ......................... 110,251 8,400 Lowe's Companies, Inc. ...................... 609,420 16,500 Marks & Spencer Plc ......................... 60,799 2,000 Matsumotokiyoshi Company, Ltd. .............. 77,135 2,400 NIKE, Inc., Class B ......................... 100,776 2,300 Wal-Mart Stores, Inc. ....................... 112,240 ------------ 1,686,140 ------------ STEEL -- 0.3% 142,000 Corus Group Plc ............................. 120,325 ------------ TELECOMMUNICATIONS -- 11.4% 8,400 America Movil S.A. de C.V., Series L+ ................................. 175,224 5,700 AT&T Corporation ............................ 125,400 52,000 Cable and Wireless Optus, Ltd.+ ............. 98,025 6,700 Cablevision Systems Corporation, Class A+ .................................. 391,950 3,300 Cox Communications, Inc.+ ................... 146,190 11,000 Ericsson LM, Sponsored ADR .................. 59,620 6,500 Exfo Electro-Optical Engineering, Inc.+ ........................ 104,975 6,100 General Motors Corporation, Class H ................................... 123,525 7,600 Lucent Technologies, Inc. ................... 47,120 10,200 Motorola, Inc. .............................. 168,912 29,400 Nokia Corporation, Sponsored ADR ............ 647,976 13,320 Nokia Oyj ................................... 301,866 See Notes to Financial Statements. 5 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) TELECOMMUNICATIONS -- (CONTINUED) 9,500 Nortel Networks Corporation ................. $ 86,355 27 NTT DoCoMo, Inc. ............................ 469,789 2,800 Qwest Communications International, Inc.+ ...................... 89,236 272,000 Singapore Telecommunications, Ltd. .......... 283,652 3,900 Sprint Corporation (FON Group) .............. 83,304 8,900 Sprint Corporation (PCS Group)+ ............. 214,935 8,323 Telefonica S.A.+ ............................ 102,590 6,600 Telefonos de Mexico, Sponsored ADR ............................. 231,594 80 Telesp Celular Participacoes S.A.+ 5,000 TyCom, Ltd.+ ................................ 86,000 11,600 United Pan-Europe Communications NV+ ........................ 29,461 348,466 Vodafone Group Plc .......................... 771,886 10,100 Williams Communications Group, Inc.+ .............................. 29,795 ------------ 4,869,380 ------------ TEXTILE - PRODUCTS -- 0.4% 41,000 Toray Industries, Inc. ...................... 163,717 ------------ TRANSPORTATION SERVICES -- 0.5% 30,000 Japan Airlines Company, Ltd. ................ 96,459 1,800 United Parcel Service, Inc., Class B ........ 104,040 ------------ 200,499 ------------ WINE & SPIRITS -- 0.3% 2,200 LVMH ........................................ 110,816 ------------ Total Common Stock (Cost $44,207,502) ........................ 40,935,202 ------------ CONVERTIBLE PREFERRED -- 0.7% NON-US BANKS -- 0.3% 21,000,000 Sanwa, Ltd. ................................. 150,282 ------------ TECHNOLOGY -- 0.4% Amazon.com, Inc. 150,000 4.750% due 02/01/09 ......................... 70,755 209,000 6.875% due 02/16/10 ......................... 89,800 ------------ 160,555 ------------ Total Convertible Preferred (Cost $383,512) ........................... 310,837 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ SHORT TERM OBLIGATIONS -- 3.5% 1,472,000 AIG Funding 4.120% due 07/02/01 ....................... $ 1,472,000 ------------ Total Short Term Obligations (Cost $1,472,000) ......................... 1,472,000 ------------ TOTAL INVESTMENTS (COST $46,063,014*)............................ 100.3% 42,718,039 OTHER ASSETS ANDLIABILITIES (NET).......................................... (0.3)% (142,043) ------ ------------ NET ASSETS........................................ 100.0% $ 42,575,996 ====== ============ - --------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Abbreviations: ADR -- American Depositary Receipt GDR -- Global Depositary Receipt See Notes to Financial Statements. 6 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 94.5% ADVERTISING AGENCY -- 0.5% 3,300 TMP Worldwide, Inc.+ ........................ $ 195,063 ------------ AEROSPACE AND DEFENSE -- 1.4% 6,900 United Technologies Corporation ............. 505,494 ------------ ALUMINUM -- 1.1% 10,000 Alcoa, Inc. ................................. 394,000 ------------ BANKING AND FINANCE -- 6.8% 12,300 Bank of America Corporation ................. 738,369 18,500 Bank One Corporation ........................ 662,300 5,967 Citigroup, Inc. ............................. 315,296 18,900 Washington Mutual, Inc. ..................... 709,695 ------------ 2,425,660 ------------ BREWERY -- 0.7% 5,700 Anheuser-Busch Companies, Inc. .............. 234,840 ------------ BROADCAST, RADIO & TV -- 7.0% 500 Adelphia Communications Corporation, Class A+ ..................... 20,500 12,950 AOL Time Warner, Inc.+ ...................... 686,350 31,200 AT&T Corporation - Liberty Media Corporation, Class A+ . ............. 545,688 5,200 Cablevision Systems Corporation, Class A+ .................................. 304,200 6,000 Cablevision Systems Corporation- Rainbow Media Group+ ...................... 154,800 4,500 Charter Communications, Inc.+ . ............. 105,075 8,500 USA Networks, Inc.+ ......................... 239,615 8,500 Viacom, Inc., Class B+ ...................... 439,875 ------------ 2,496,103 ------------ CHEMICALS -- 0.4% 4,000 Dow Chemical Company ........................ 133,000 ------------ COMMERCIAL SERVICES -- 0.3% 2,500 Ecolab, Inc. ................................ 102,425 ------------ COMPUTER INDUSTRY -- 2.3% 9,000 Hewlett-Packard Company ..................... 257,400 1,200 International Business Machines Corporation ............................... 135,600 4,600 Microsoft Corporation+ ...................... 335,800 2,200 Siebel Systems, Inc.+ ....................... 103,180 ------------ 831,980 ------------ DIVERSIFIED MANUFACTURING -- 3.1% 10,000 Illinois Tool Works, Inc. ................... 633,000 8,600 Tyco International, Ltd. .................... 468,700 ------------ 1,101,700 ------------ DIVERSIFIED OPERATIONS -- 3.3% 9 Berkshire Hathaway, Inc., Class A+ .......... 624,600 3,300 Disney (Walt) Company ....................... 95,337 14,400 The Williams Companies, Inc. ................ 474,480 ------------ 1,194,417 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ ELECTRONICS -- 3.8% 11,800 Agilent Technologies, Inc.+ ................. $ 383,500 4,500 Altera Corporation+ ......................... 130,500 5,400 Emerson Electric Company .................... 326,700 9,500 General Motors Corporation, Class H ......... 192,375 5,300 Koninklijke (Royal) Philips Electronics N.V., ADR ..................... 140,079 4,300 Linear Technology Corporation ............... 190,146 ------------ 1,363,300 ------------ ELECTRONICS - SEMICONDUCTOR -- 9.1% 15,000 Applied Materials, Inc.+ .................... 736,500 4,700 Applied Micro Circuits Corporation+ ......... 80,840 2,500 Bookham Technology Plc, ADR+ ................ 7,250 5,700 Broadcom Corporation, Class A+ .............. 243,732 5,600 Brocade Communications Systems, Inc.+ ............................ 246,344 4,500 Intel Corporation ........................... 131,625 7,000 KLA-Tencor Corporation+ ..................... 409,290 2,400 Novellus Systems, Inc.+ ..................... 136,296 5,700 PMC-Sierra, Inc.+ ........................... 177,099 2,500 Sony Corporation, ADR ....................... 164,500 13,000 Teradyne, Inc.+ ............................. 430,300 12,500 Texas Instruments, Inc. ..................... 393,750 2,300 Xilinx, Inc.+ ............................... 94,852 ------------ 3,252,378 ------------ ENGINEERING RESEARCH -- 1.0% 8,300 Fluor Corporation + ......................... 374,745 ------------ FINANCIAL SERVICES -- 4.8% 4,800 Household International, Inc. ............... 320,160 15,200 USA Education, Inc. ......................... 1,109,600 6,000 Wells Fargo Company ......................... 278,580 ------------ 1,708,340 ------------ FOOD AND KINDRED PRODUCTS -- 6.6% 16,600 Campbell Soup Company ....................... 427,450 7,700 General Mills, Inc. ......................... 337,106 6,000 Heinz (H.J.) Company ........................ 245,340 29,000 Kellogg Company ............................. 841,000 4,800 Kraft Foods, Inc.+ .......................... 148,800 8,000 PepsiCo, Inc. ............................... 353,600 ------------ 2,353,296 ------------ HOUSEHOLD PRODUCTS -- 1.1% 11,500 Clorox Company .............................. 389,275 ------------ INSURANCE -- 3.4% 4,000 Allstate Corporation ........................ 175,960 6,800 Cincinnati Financial Corporation ............ 268,600 2,300 Hartford Financial Services Group, Inc. ............................... 157,320 4,050 Jefferson-Pilot Corporation ................. 195,696 5,500 St. Paul Companies, Inc. .................... 278,795 2,000 The PMI Group, Inc. ......................... 143,320 ------------ 1,219,691 ------------ See Notes to Financial Statements. 7 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) INTERNET CONTENT -- 2.7% 9,000 CheckFree Corporation + ..................... $ 315,630 11,600 DoubleClick, Inc.+ .......................... 161,936 5,000 Macromedia, Inc.+ ........................... 90,000 5,700 VeriSign, Inc.+ ............................. 342,057 1,900 webMethods, Inc.+ ........................... 40,242 ------------ 949,865 ------------ LEISURE -- 0.7% 8,300 Carnival Corporation ........................ 254,810 ------------ MEDICAL-BIOMEDICAL / GENE -- 0.3% 2,100 Genentech, Inc.+ ............................ 115,710 ------------ MEDICAL SUPPLIES -- 9.9% 21,300 AstraZeneca Group Plc, ADR .................. 995,775 5,300 Becton, Dickinson and Company ............... 189,687 8,000 Forest Laboratories, Inc.+ .................. 568,000 9,475 Guidant Corporation+ ........................ 341,100 10,000 Medtronic, Inc. ............................. 460,100 24,200 Pfizer, Inc. ................................ 969,210 ------------ 3,523,872 ------------ MISCELLANEOUS MANUFACTURING INDUSTRIES -- 0.6% 6,000 Dover Corporation ........................... 225,900 ------------ NETWORKING PRODUCTS -- 1.2% 22,600 Cisco Systems, Inc.+ ........................ 411,320 ------------ NONDURABLE GOODS - CONSUMER -- 0.5% 3,500 Avon Products, Inc. ......................... 161,980 ------------ OIL SERVICES -- 5.1% 14,100 Baker Hughes, Inc. .......................... 472,350 5,200 Exxon Mobil Corporation ..................... 454,220 600 Royal Dutch Petroleum, NY Shares ............ 34,962 8,000 Shell Transport & Trading Company, ADR .............................. 402,720 1,700 Texaco, Inc. ................................ 113,220 2,000 Transocean Sedco Forex, Inc. ................ 82,500 3,000 Unocal Corporation .......................... 102,450 3,600 Weatherford International, Inc.+ ............ 172,800 ------------ 1,835,222 ------------ PRECISION INSTRUMENT -- 0.7% 9,700 Applera Corporation- Applied Biosystem ......................... 259,475 ------------ PUBLISHING -- 0.3% 1,800 Knight-Ridder, Inc. ......................... 106,740 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ RESTAURANTS -- 0.6% 8,000 McDonald's Corporation ...................... $ 216,480 ------------ RETAIL -- 4.6% 4,100 Amazon.com, Inc.+ ........................... 58,015 11,100 Circuit City Stores- Circuit City Group ........................ 199,800 7,600 Dollar General Corporation .................. 148,200 7,100 Gap, Inc. ................................... 205,900 13,000 Lowe's Companies, Inc. ...................... 943,150 2,200 Wal-Mart Stores, Inc. ....................... 107,360 ------------ 1,662,425 ------------ TECHNOLOGY -- 0.6% 4,500 Cadence Design Systems, Inc.+ . ............. 83,835 2,400 PeopleSoft, Inc.+ ........................... 118,152 ------------ 201,987 ------------ TELECOMMUNICATIONS -- 5.1% 11,600 AT&T Corporation ............................ 255,200 7,000 Corning, Inc.+ .............................. 116,970 5,300 Cox Communications, Inc.+ ................... 234,790 10,000 Ericsson (LM), Sponsored ADR ................ 54,200 900 Newport Corporation ......................... 23,850 23,400 Nokia Corporation, Sponsored ADR ............ 515,736 3,236 Qwest Communications International, Inc.+ ...................... 103,131 2,900 SBC Communications, Inc. .................... 116,174 1,300 Sprint Corporation (FON Group) .............. 27,768 11,500 Sprint Corporation (PCS Group)+ ............. 277,725 5,000 TyCom, Ltd.+ ................................ 86,000 9,868 Williams Communications Group, Inc.+ .............................. 29,111 ------------ 1,840,655 ------------ TOBACCO -- 0.6% 4,300 Philip Morris Companies, Inc. ............... 218,225 ------------ TRANSPORTATION -- 0.9% 3,300 Canadian National Railway Company ................................... 133,650 3,200 Union Pacific Corporation ................... 175,712 ------------ 309,362 ------------ UTILITY -- 3.4% 9,200 AES Corporation+ ............................ 396,060 2,100 Air Products and Chemicals, Inc.+ ........... 96,075 6,700 Cinergy Corporation ......................... 234,165 22,100 Edison International ........................ 246,415 7,200 Northeast Utilities ......................... 149,400 4,300 NRG Energy, Inc.+ ........................... 94,944 ------------ 1,217,059 ------------ Total Common Stock (Cost $33,888,137) ........................ 33,786,794 ------------ See Notes to Financial Statements. 8 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ SHORT TERM OBLIGATIONS -- 5.4% 1,934,000 AIG Funding 4.120% due 07/02/01 ....................... $ 1,934,000 ------------ Total Short Term Obligations (Cost $1,934,000) ......................... 1,934,000 ------------ TOTAL INVESTMENTS (COST $35,822,137*)............................ 99.9% 35,720,794 OTHER ASSETS AND LIABILITIES (NET).......................................... 0.1% 30,352 ------ ------------ NET ASSETS........................................ 100.0% $ 35,751,146 ====== ============ - ---------------- * Aggregate cost for federal tax purposes. + Non-Income Producing Security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 9 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN VALUE PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 94.9% AEROSPACE AND DEFENSE -- 3.7% 61,000 Lockheed Martin Corporation ................. $ 2,260,050 19,700 Raytheon Company ............................ 523,035 57,000 United Technologies Corporation ............. 4,175,820 ------------ 6,958,905 ------------ AUTO & TRUCKS -- 0.6% 42,500 Navistar International Corporation+ .............................. 1,195,525 ------------ BANKING AND FINANCE -- 9.3% 107,000 Bank of America Corporation ................. 6,423,210 162,300 Bank One Corporation ........................ 5,810,340 113,400 Washington Mutual, Inc. ..................... 4,258,170 27,000 Wells Fargo & Company ....................... 1,253,610 ------------ 17,745,330 ------------ BASIC INDUSTRY -- 2.2% 60,600 Alcoa, Inc. ................................. 2,387,640 34,000 Union Pacific Corporation ................... 1,866,940 ------------ 4,254,580 ------------ CHEMICALS -- 1.4% 35,300 Air Products and Chemicals, Inc. ............ 1,614,975 28,800 Dow Chemical Company ........................ 957,600 ------------ 2,572,575 ------------ COMMUNICATIONS -- 3.0% 52,700 AT&T Corporation ............................ 1,159,400 40,700 CenturyTel, Inc. ............................ 1,233,210 72,700 SBC Communications, Inc. .................... 2,912,362 87,496 Williams Communications Group, Inc.+ .............................. 258,113 14,000 WorldCom, Inc.+ ............................. 209,440 560 WorldCom, Inc. - MCI Group.+ ................ 9,016 ------------ 5,781,541 ------------ DIVERSIFIED MANUFACTURING -- 4.8% 87,000 Illinois Tool Works, Inc. ................... 5,507,100 65,700 Tyco International, Ltd. .................... 3,580,650 ------------ 9,087,750 ------------ DIVERSIFIED OPERATIONS -- 1.9% 107,000 The Williams Companies, Inc. ................ 3,525,650 ------------ DURABLE GOODS - WHOLESALE -- 0.5% 20,900 Grainger (W.W.), Inc. ....................... 860,244 ------------ ELECTRONICS -- 3.5% 47,500 Applied Materials, Inc.+ .................... 2,332,250 71,500 Emerson Electric Company .................... 4,325,750 ------------ 6,658,000 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ ENGINEERING RESEARCH -- 2.4% 103,300 Fluor Corporation+ .......................... $ 4,663,995 ------------ FINANCIAL SERVICES -- 6.7% 33,003 Citigroup, Inc. ............................. 1,743,879 7,700 Goldman Sachs Group, Inc. ................... 660,660 50,200 Household International, Inc. ............... 3,348,340 97,600 USA Education, Inc. ......................... 7,124,800 ------------ 12,877,679 ------------ FOOD AND KINDRED PRODUCTS -- 10.0% 23,000 Anheuser-Busch Companies, Inc. .............. 947,600 133,000 Campbell Soup Company ....................... 3,424,750 84,100 General Mills, Inc. ......................... 3,681,898 230,000 Kellogg Company ............................. 6,670,000 141,200 Kraft Foods, Inc. ........................... 4,377,200 ------------ 19,101,448 ------------ HOUSEHOLD PRODUCTS -- 2.0% 115,300 Clorox Company .............................. 3,902,905 ------------ INSURANCE -- 6.6% 20,500 Allstate Corporation ........................ 901,795 109,200 Jefferson-Pilot Corporation ................. 5,276,544 33,000 St. Paul Companies, Inc. .................... 1,672,770 57,000 XL Capital, Ltd., Class A ................... 4,679,700 ------------ 12,530,809 ------------ LEISURE -- 2.6% 159,500 Carnival Corporation ........................ 4,896,650 ------------ MACHINERY -- 1.0% 52,800 Dover Corporation ........................... 1,987,920 ------------ MEDICAL SUPPLIES -- 2.3% 124,000 Becton, Dickinson & Company ................. 4,437,960 ------------ OIL SERVICES -- 2.5% 35,000 Baker Hughes, Inc. .......................... 1,172,500 5,683 Exxon Mobil Corporation ..................... 496,410 42,000 Shell Transport & Trading, ADR .............. 2,114,280 30,100 Unocal Corporation .......................... 1,027,915 ------------ 4,811,105 ------------ PETROLEUM REFINING -- 3.2% 30,800 Kinder Morgan Management, LLC+ .............. 2,109,800 59,200 Royal Dutch Petroleum Company, NY Shares ................................. 3,449,584 8,000 Texaco, Inc. ................................ 532,800 ------------ 6,092,184 ------------ PUBLISHING -- 1.2% 39,800 Knight-Ridder, Inc. ......................... 2,360,140 ------------ See Notes to Financial Statements. 10 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN VALUE PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 3.4% 208,000 Equity Office Properties Trust .............. $ 6,579,040 ------------ RESTAURANTS -- 0.8% 57,000 McDonald's Corporation ...................... 1,542,420 ------------ RETAIL -- 6.9% 169,300 Circuit City Stores-Circuit City Group ................................ 3,047,400 65,000 Costco Wholesale Corporation+ . ............. 2,670,200 124,200 Dollar General Corporation .................. 2,421,900 70,700 Lowe's Companies, Inc. ...................... 5,129,285 ------------ 13,268,785 ------------ TECHNOLOGY -- 2.8% 198,700 Compaq Computer Corporation ................. 3,077,863 79,000 Hewlett-Packard Company ..................... 2,259,400 ------------ 5,337,263 ------------ TOBACCO -- 2.6% 96,500 Philip Morris Companies, Inc. ............... 4,897,375 ------------ TRANSPORTATION -- 1.2% 58,500 Canadian National Railway Company ................................... 2,369,250 ------------ UTILITY -- 5.8% 21,000 Cinergy Corporation ......................... 733,950 500,600 Edison International ........................ 5,581,690 21,800 Mirant Corporation+ ......................... 749,920 125,100 Northeast Utilities ......................... 2,595,825 65,500 NRG Energy, Inc.+ ........................... 1,446,240 ------------ 11,107,625 ------------ Total Common Stock (Cost $161,030,051) ....................... 181,404,653 ------------ SHORT TERM OBLIGATIONS -- 5.3% 10,217,000 AIG Funding, Inc. 4.120% due 07/02/01 ....................... 10,217,000 ------------ Total Short Term Obligations (Cost $10,217,000) ........................ 10,217,000 ------------ TOTAL INVESTMENTS (COST $171,247,051*)........................... 100.2% 191,621,653 OTHER ASSETS AND LIABILITIES (NET).......................................... (0.2)% (392,567) ------- ------------ NET ASSETS........................................ 100.0% $191,229,086 ======= ============ - ------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. Abbreviation: ADR -- American Depositary Receipt. See Notes to Financial Statements. 11 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 98.0% AEROSPACE AND DEFENSE -- 2.3% 214,900 BE Aerospace, Inc.+ ......................... $ 4,093,845 158,800 Teledyne Technologies, Inc.+ ................ 2,413,760 ------------ 6,507,605 ------------ BASIC INDUSTRY -- 0.8% 168,200 Cooper Tire & Rubber Company ................ 2,388,440 ------------ BUSINESS SERVICES -- 3.2% 191,700 Dycom Industries, Inc.+ ..................... 4,395,681 185,200 IKON Office Solutions, Inc. ................. 1,814,960 375,400 Modis Professional Services, Inc.+ .......... 2,590,260 29,600 Superior Consultant Holdings Corporation+ .............................. 136,160 15,000 Technology Solutions Company+ . ............. 26,700 ------------ 8,963,761 ------------ CHEMICALS -- 3.7% 88,200 Airgas, Inc.+ ............................... 1,049,580 189,700 Crompton Corporation ........................ 2,067,730 91,000 Georgia Gulf Corporation .................... 1,410,500 306,000 Methanex Corporation+ ....................... 1,606,500 416,500 PolyOne Corporation ......................... 4,335,765 ------------ 10,470,075 ------------ COAL -- 4.0% 236,800 Arch Coal, Inc. ............................. 6,126,016 269,400 Massey Energy Company ....................... 5,323,344 ------------ 11,449,360 ------------ COMPUTERS -- 2.3% 153,400 InFocus Corporation+ ........................ 3,127,826 631,124 Maxtor Corporation+ ......................... 3,313,401 ------------ 6,441,227 ------------ COMPUTER SERVICES AND SOFTWARE -- 9.2% 161,200 AremisSoft Corporation+ ..................... 2,611,440 123,400 Art Technology Group, Inc.+ ................. 715,720 47,500 Forrester Research, Inc.+ ................... 1,073,025 184,900 Hypercom Corporation+ ....................... 887,520 571,550 Informix Corporation+ ....................... 3,337,852 46,100 Inter-Tel, Inc. ............................. 549,051 221,500 Keane, Inc.+ ................................ 4,873,000 13,300 Keynote Systems, Inc.+ ...................... 145,635 77,800 Legato Systems, Inc.+ ....................... 1,240,910 170,600 Macromedia, Inc.+ ........................... 3,070,800 124,000 MRO Software, Inc.+ ......................... 1,959,200 127,400 Network Associates, Inc.+ ................... 1,586,130 191,800 Quantum Corporation- DLT & Storage+ ............................ 1,935,262 332,700 Silicon Graphics, Inc.+ ..................... 462,453 187,300 Systems & Computer Technology Corporation+ ................... 1,695,065 ------------ 26,143,063 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ CONSTRUCTION/BUILDING MATERIALS -- 0.5% 146,700 RPM, Inc. ................................... $ 1,349,640 ------------ CONSUMER PRODUCTS -- 1.4% 422,900 Tyson Foods, Inc., Class A .................. 3,894,909 ------------ CONTAINERS -- 0.1% 274,800 Gaylord Container Corporation, Class A+ .................................. 288,540 ------------ ELECTRONICS -- 10.9% 164,700 Actel Corporation+ .......................... 4,043,385 426,700 APW, Ltd.+ .................................. 4,331,005 137,800 Arrow Electronics, Inc.+ .................... 3,347,162 174,700 Avnet, Inc. ................................. 3,916,774 436,200 Conexant Systems, Inc. ...................... 3,903,990 116,900 CTS Corporation ............................. 2,396,450 47,900 Fairchild Semiconductor International Corporation, Class A+ ....... 1,101,700 54,800 General Semiconductor, Inc.+ ................ 573,208 138,200 Power-One, Inc. ............................. 2,299,648 252,200 Trimble Navigation, Ltd.+ ................... 4,915,378 ------------ 30,828,700 ------------ ENTERTAINMENT AND LEISURE -- 2.2% 131,300 Midway Games, Inc.+ ......................... 2,429,050 184,000 Six Flags, Inc.+ ............................ 3,871,360 ------------ 6,300,410 ------------ FINANCIAL SERVICES -- 2.5% 150,500 Ameritrade Holding Corporation, Class A+ ..................... 1,197,980 239,700 E*TRADE Group, Inc.+ ........................ 1,546,065 110,100 Knight Trading Group, Inc.+ ................. 1,176,969 177,600 KPMG Consulting, Inc.+ ...................... 2,726,160 19,600 Phoenix Companies, Inc.+ .................... 364,560 ------------ 7,011,734 ------------ FOREST PRODUCTS & PAPER -- 0.8% 187,700 Louisiana-Pacific Corporation ............... 2,201,721 ------------ FUNERAL SERVICES & RELATED ITEMS -- 1.4% 413,100 Service Corporation International+ .......... 2,627,316 173,200 Stewart Enterprises, Inc., Class A .......... 1,264,360 ------------ 3,891,676 ------------ INSURANCE -- 1.6% 83,600 LandAmerica Financial Group, Inc. ........... 2,662,660 63,200 Oxford Health Plans, Inc.+ .................. 1,807,520 ------------ 4,470,180 ------------ See Notes to Financial Statements. 12 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) MACHINE - DIVERSIFIED -- 4.4% 89,400 Applied Industrial Technologies, Inc. ....... $ 1,694,130 113,100 Briggs & Stratton Corporation ............... 4,761,510 114,700 Credence Systems Corporation+ . ............. 2,780,328 96,700 York International Corporation .............. 3,386,434 ------------ 12,622,402 ------------ MANUFACTURING -- 4.6% 347,100 Agrium, Inc. ................................ 3,471,000 184,600 IMC Global, Inc. ............................ 1,882,920 1,900 NS Group, Inc.+ ............................. 25,365 108,800 Pittson Brink's Group ....................... 2,425,152 109,400 UCAR International, Inc.+ ................... 1,307,330 537,400 U.S. Industries, Inc. ....................... 2,203,340 100,500 Wolverine Tube, Inc.+ ....................... 1,665,285 ------------ 12,980,392 ------------ MEDIA AND COMMUNICATIONS -- 1.3% 252,300 Allen Telecom, Inc.+ ........................ 3,784,500 ------------ METAL AND METAL PRODUCTS -- 1.7% 309,600 Bethlehem Steel Corporation+ ................ 625,392 85,100 Maverick Tube Corporation+ .................. 1,442,445 139,200 USX-U.S. Steel Group, Inc. .................. 2,804,880 ------------ 4,872,717 ------------ OIL AND GAS -- 5.9% 83,600 Global Industries, Ltd.+ .................... 1,042,492 170,900 Grant Prideco, Inc.* ........................ 2,989,041 368,000 Key Energy Services, Inc.+ .................. 3,989,120 10,300 Newpark Resources, Inc.+ .................... 114,330 288,600 Petroleum Geo-Services ASA+ ................. 2,917,746 152,100 Sunoco, Inc. ................................ 5,571,423 ------------ 16,624,152 ------------ OIL AND GAS EXTRACTION -- 2.5% 155,400 Chesapeake Energy Corporation ............... 1,056,720 18,200 Marine Drilling Cos., Inc.+ ................. 347,802 80,100 Oceaneering International, Inc.+ ............ 1,662,075 537,900 Parker Drilling Company+ .................... 3,496,350 23,200 Patterson-UTI Energy, Inc.+ ................. 414,584 ------------ 6,977,531 ------------ OPTICAL SUPPLIES -- 2.3% 184,800 Bausch & Lomb, Inc. ......................... 6,697,152 ------------ PHARMACEUTICALS -- 3.6% 152,700 Alpharma, Inc. - Class A .................... 4,161,075 189,700 ICN Pharmaceuticals, Inc. ................... 6,017,284 ------------ 10,178,359 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ RESTAURANTS -- 1.7% 129,000 Papa John's International, Inc.+ ............ $ 3,270,150 64,400 Triarc Companies, Inc.+ ..................... 1,687,280 ------------ 4,957,430 ------------ RETAIL -- 5.4% 194,700 Ames Department Stores, Inc.+ . ............. 270,633 18,800 Barnes & Noble, Inc.* ....................... 739,780 156,000 Circuit City Stores- Circuit City Group ........................ 2,808,000 51,600 Dollar Tree Stores, Inc.+ ................... 1,436,544 62,600 Finlay Enterprises, Inc.+ ................... 704,250 614,400 OfficeMax, Inc.+ ............................ 2,267,136 251,200 Regis Corporation ........................... 5,272,688 54,800 Zale Corporation+ ........................... 1,846,760 ------------ 15,345,791 ------------ SEMICONDUCTORS -- 2.7% 119,500 Mattson Technology, Inc.+ ................... 2,088,860 199,600 PRI Automation, Inc.+ ....................... 3,697,590 45,100 Varian Semiconductor Equipment Associates, Inc.+ . ............. 1,894,200 ------------ 7,680,650 ------------ SERVICES -- 3.7% 418,700 Foster Wheeler, Ltd. ........................ 3,789,235 321,400 Gartner Group, Inc., Class A+ . ............. 3,535,400 212,600 Kforce.com, Inc.+ ........................... 1,381,900 3,500 Photon Dynamics, Inc.+ ...................... 94,500 68,000 Quintiles Transnational Corporation+ .............................. 1,717,000 ------------ 10,518,035 ------------ TECHNOLOGY -- 3.5% 306,900 Artesyn Technologies, Inc.+ ................. 3,959,010 71,400 Harman International Industries, Inc. .......................... 2,719,626 150,500 Oak Technology, Inc.+ ....................... 1,593,795 493,200 SONICblue, Inc.+ ............................ 1,627,560 ------------ 9,899,991 ------------ TELECOMMUNICATIONS EQUIPMENT -- 3.5% 76,100 Andrew Corporation+ ......................... 1,404,045 270,900 ANTEC Corporation+ .......................... 3,359,160 177,200 Citizens Communications Company ................................... 2,131,716 239,600 MasTec, Inc.+ ............................... 3,162,720 ------------ 10,057,641 ------------ TEXTILES AND APPAREL -- 0.0%** 50,400 WestPoint Stevens, Inc. ..................... 69,552 ------------ See Notes to Financial Statements. 13 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) TRANSPORTATION -- 4.3% 224,000 Atlas Air, Inc.+ ............................ $ 3,171,840 230,800 Stolt-Nielsen S.A. .......................... 4,119,780 271,100 Trico Marine Services, Inc.+ ................ 2,884,504 104,500 Yellow Corporation+ ......................... 1,983,411 ------------ 12,159,535 ------------ Total Common Stock (Cost $289,623,570) ....................... 278,026,871 ------------ SHORT TERM OBLIGATIONS -- 4.7% 13,549,000 General Electric Capital Corporation 4.100% due 07/02/01 ....................... 13,549,000 ------------ Total Short Term Obligations (Cost $13,549,000) ........................ 13,549,000 ------------ TOTAL INVESTMENTS (COST $303,172,570*)........................... 102.7% 291,575,871 OTHER ASSETS AND LIABILITIES (NET).......................................... (2.7)% (7,779,146) ------- ------------ NET ASSETS........................................ 100.0% $283,796,725 ======= ============ - -------------------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-Income Producing Security. See Notes to Financial Statements. 14 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ AGENCY SECURITIES -- 44.2% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 9.9% $ 8,904,000 Federal Home Loan Mortgage Corporation, Sub. Note 5.875% due 03/21/11 ....................... $ 8,543,655 FHLMC Gold 65,411 9.500% due 07/25/22 ....................... 68,987 82,726 9.500% due 12/01/22 ....................... 89,266 ------------ 8,701,908 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 7.4% 44,724 7.000% due 08/01/03 ....................... 45,510 78,767 7.500% due 06/01/09 ....................... 81,400 1,463,964 6.200% due 01/01/11 ....................... 1,440,632 459,046 6.500% due 02/01/13 ....................... 461,915 310,865 6.500% due 03/01/13 ....................... 312,420 600,938 6.000% due 08/01/13 ....................... 594,178 2,469,286 6.000% due 11/01/13 ....................... 2,441,506 751,744 6.000% due 12/01/13 ....................... 743,287 30,031 7.000% due 07/01/22 ....................... 30,356 86,863 7.000% due 07/01/23 ....................... 87,677 127,775 6.500% due 02/01/26 ....................... 126,098 112,409 7.000% due 09/01/26 ....................... 113,181 ------------ 6,478,160 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 19.3% 114,964 8.000% due 07/15/17 ....................... 120,963 71,243 8.500% due 12/15/21 ....................... 75,339 110,960 9.000% due 12/15/21 ....................... 118,865 134,564 7.000% due 11/15/23 ....................... 136,582 196,674 7.500% due 12/15/23 ....................... 202,389 169,829 8.000% due 06/15/27 ....................... 176,091 173,692 8.000% due 07/15/27 ....................... 180,096 838,097 8.000% due 08/15/27 ....................... 868,998 491,679 7.000% due 09/20/28 ....................... 494,527 5,803,325 7.000% due 10/20/28 ....................... 5,848,649 838,429 7.000% due 01/20/29 ....................... 843,285 917,026 7.000% due 07/20/29 ....................... 922,337 1,862,752 7.000% due 09/20/29 ....................... 1,873,541 145,097 7.500% due 02/20/30 ....................... 148,227 1,683,770 7.500% due 03/20/30 ....................... 1,719,028 1,383,969 7.500% due 05/20/30 ....................... 1,412,949 652,648 7.500% due 08/20/30 ....................... 666,315 163,967 7.500% due 02/20/31 ....................... 167,401 978,999 7.500% due 03/20/31 ....................... 999,499 ------------ 16,975,081 ------------ SMALL BUSINESS ADMINISTRATION (SBA) -- 3.3% 736,343 6.300% due 05/01/18 ....................... 734,578 897,375 5.500% due 10/01/18 ....................... 854,507 1,308,361 5.800% due 12/01/18 ....................... 1,266,058 ------------ 2,855,143 ------------ PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ TENNESSEE VALLEY AUTHORITY (TVA) -- 4.3% $ 3,886,155 3.375% due 01/15/07# ...................... $ 3,820,407 ------------ Total Agency Securities (Cost $38,630,125) ........................ 38,830,699 ------------ CORPORATE FIXED INCOME SECURITIES -- 8.7% AUTO AND TRUCK PARTS AND EQUIPMENT -- 0.1% 72,000 American Axle and Manufacturing, Inc. 9.750% due 03/01/09 ....................... 72,360 ------------ ENERGY -- 1.4% 619,000 AES Corporation 8.750% due 12/15/02 ....................... 625,190 204,000 Calpine Canada Energy Finance, Senior Notes 8.500% due 05/01/08 ....................... 198,892 408,000 Calpine Corporation 8.500% due 02/15/11 ....................... 393,325 ------------ 1,217,407 ------------ FINANCE -- 1.7% 1,477,943 Chase 7.250% due 10/25/29 ....................... 1,461,701 ------------ METAL MINING AND MANUFACTURING -- 1.7% 641,000 Newmont Mining Corporation 8.625% due 05/15/11 ....................... 629,507 925,000 Phelps Dodge Corporation 9.500% due 06/01/31 ....................... 896,769 ------------ 1,526,276 ------------ OIL & GAS EXPLORATION -- 0.0%** 30,000 Norcen Energy Resources, Debentures 7.375% due 05/15/06 ....................... 31,378 ------------ TELECOMMUNICATIONS -- 3.5% 411,000 Adelphia Communications 10.250% due 06/15/11 ...................... 404,835 1,327,000 AT&T Wireless Group 8.750% due 03/01/31++ ..................... 1,378,806 40,000 Crown Castle International Corporation., Senior Notes 9.375% due 08/01/11 ....................... 36,100 611,000 CSC Holdings, Inc. 7.625% due 04/01/11 ....................... 582,898 372,000 Global Crossing Holdings, Ltd. 9.500% due 11/15/09 ....................... 288,309 408,000 Marconi Corporation Plc 8.375% due 09/15/30 ....................... 351,590 ------------ 3,042,538 ------------ See Notes to Financial Statements. 15 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST DREYFUS U.S.GOVERNMENT SECURITIES PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) WASTE MANAGEMENT -- 0.3% $ 288,000 Allied Waste North America, Inc. 10.000% due 08/01/09 ...................... $ 295,920 ------------ Total Corporate Fixed Income Securities (Cost $7,691,623) ......................... 7,647,580 ------------ U.S. TREASURY OBLIGATIONS -- 28.7% U.S. TREASURY BONDS -- 16.9% 135,000 6.250% due 05/15/30 ....................... 142,993 15,483,000 5.375% due 02/15/31 ....................... 14,670,142 ------------ 14,813,135 ------------ U.S. TREASURY NOTES -- 8.1% 1,000,000 6.375% due 08/15/02## ..................... 1,025,940 915,000 5.625% due 11/30/02 ....................... 934,160 2,022,000 5.750% due 08/15/10 ....................... 2,068,809 3,034,920 3.500% due 01/15/11# ...................... 3,095,438 ------------ 7,124,347 ------------ U.S. TREASURY STRIP -- 3.7% US Government Strips TII 250,000 0.000% due 10/15/28 ....................... 100,980 2,926,025 0.000% due 04/15/29 ....................... 1,306,132 1,876,000 Zero Coupon 0.000% due 11/11/01^ ...................... 1,847,860 ------------ 3,254,972 ------------ Total U.S. Treasury Obligations (Cost $25,378,009) ........................ 25,192,454 ------------ PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ VARIABLE RATE CORPORATE BONDS -- 0.9% $ 750,000 Meridian Funding Company LLC 4.381% due 12/20/05++ ..................... $ 750,442 ------------ Total Variable Rate Corporate Bonds (Cost $750,000) ........................... 750,442 ------------ REPURCHASE AGREEMENT -- 4.2% 3,651,000 Agreement with The Boston Company, 3.88% to be repurchased at $3,652,180 on 07/02/2001, collateralized by $2,838,000 US Treasury Bond, 8.75% due 08/15/2017, market value $3,724,875 ................... 3,651,000 ------------ Total Repurchase Agreement (Cost $3,651,000) ......................... 3,651,000 ------------ TOTAL INVESTMENTS (COST $76,100,757*)............................ 86.7% 76,072,175 OTHER ASSETS AND LIABILITIES (NET).......................................... 13.3% 11,685,532 ------ ------------ NET ASSETS........................................ 100.0% $ 87,757,707 ====== ============ - ----------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1% ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ^ Zero coupon security as of June 30, 2001. The coupon shown is the step-up rate. # U.S. Treasury Inflation Index Notes. ## Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 16 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 61.9% AEROSPACE AND DEFENSE -- 3.8% 60,350 General Dynamics Corporation ................ $ 4,695,833 92,000 United Technologies Corporation ............. 6,739,920 ------------ 11,435,753 ------------ BANKING AND FINANCIAL SERVICES -- 3.5% 18,250 Bank of New York Company, Inc. .............. 876,000 132,733 Citigroup, Inc. ............................. 7,013,612 5,700 Concord EFS, Inc.+ .......................... 296,457 21,000 Fifth Third Bancorp ......................... 1,261,050 12,200 Goldman Sachs Group, Inc. ................... 1,046,760 ------------ 10,493,879 ------------ COMPUTER SERVICES AND SOFTWARE -- 8.0% 11,150 BEA Systems, Inc.+ .......................... 342,416 11,200 Brocade Communications Systems, Inc.+ ............................ 492,688 13,100 Dell Computer Corporation + ................. 339,945 65,150 EMC Corporation+ ............................ 1,892,607 43,100 International Business Machines Corporation ...................... 4,870,300 31,050 Intuit, Inc.+ ............................... 1,241,689 15,890 McDATA Corporation+ ......................... 278,869 14,350 Mercury Interactive Corporation+ ............ 859,565 102,750 Microsoft Corporation+ ...................... 7,500,750 127,300 Oracle Corporation+ ......................... 2,418,700 11,800 Siebel Systems, Inc.+ ....................... 553,420 22,050 StorageNetworks, Inc.+ ...................... 374,629 70,050 Sun Microsystems, Inc.+ ..................... 1,101,186 27,076 VERITAS Software Corporation+ . ............. 1,801,356 ------------ 24,068,120 ------------ CONSUMER NON-DURABLES -- 1.4% 21,150 Colgate-Palmolive Company ................... 1,247,639 40,300 Philip Morris Companies, Inc. ............... 2,045,225 15,400 Procter & Gamble Company .................... 982,520 ------------ 4,275,384 ------------ DIVERSIFIED OPERATIONS -- 8.5% 5,400 First Data Corporation ...................... 346,950 241,700 General Electric Company .................... 11,782,875 248,000 Tyco International, Ltd. .................... 13,516,000 ------------ 25,645,825 ------------ DRUGS AND MEDICAL PRODUCTS -- 10.7% 20,200 Abbott Laboratories ......................... 969,802 80,100 American Home Products Corporation ............................... 4,681,044 22,050 Amgen, Inc.+ ................................ 1,337,994 53,700 Bristol-Myers Squibb Company ................ 2,808,510 35,300 HCA-Healthcare Company ...................... 1,595,207 38,300 Johnson & Johnson ........................... 1,915,000 16,300 Laboratory Corporation of America Holdings+ ......................... 1,253,470 17,250 Lilly (Eli) & Company ....................... 1,276,500 35,250 Medtronic, Inc. ............................. 1,621,852 VALUE SHARES (NOTE 1) - ----------- ------------ DRUGS AND MEDICAL PRODUCTS -- (CONTINUED) 36,600 Merck & Company, Inc. ....................... $ 2,339,106 229,450 Pfizer, Inc. ................................ 9,189,472 53,135 Pharmacia Corporation ....................... 2,441,553 9,600 Schering-Plough Corporation ................. 347,904 14,000 Tularik, Inc.+ .............................. 361,620 ------------ 32,139,034 ------------ ELECTRICAL PRODUCTS -- 0.7% 18,500 Altera Corporation+ ......................... 536,500 19,900 Jabil Circuit, Inc.+ ........................ 614,114 9,700 Micron Technology, Inc.+ .................... 398,670 13,600 Xilinx, Inc.+ ............................... 560,864 ------------ 2,110,148 ------------ ELECTRONICS -- 1.5% 18,200 Applied Materials, Inc.+ .................... 893,620 7,250 Maxim Integrated Products, Inc.+ ............ 320,523 12,200 QLogic Corporation+ ......................... 786,290 17,150 Sanmina Corporation+ ........................ 401,482 71,150 Texas Instruments, Inc. ..................... 2,241,225 ------------ 4,643,140 ------------ ENERGY SERVICES -- 0.1% 10,700 Calpine Corporation+ ........................ 404,460 ------------ FEDERAL AGENCY AND GOVERNMENT -- 2.5% 108,750 Freddie Mac ................................. 7,612,500 ------------ FOOD AND BEVERAGES -- 2.8% 54,450 Anheuser-Busch Companies, Inc. .............. 2,243,340 10,450 Coca-Cola Company ........................... 470,250 58,300 Kraft Foods, Inc. ........................... 1,807,300 68,100 PepsiCo, Inc. ............................... 3,010,020 9,400 Quaker Oats Company ......................... 857,750 ------------ 8,388,660 ------------ HEALTH SERVICES -- 0.3% 15,150 Gilead Sciences, Inc.+ ...................... 881,579 ------------ HOTELS -- 0.2% 14,100 Starwood Hotels and Resorts Worldwide, Inc. ........................... 525,648 ------------ INSURANCE -- 1.7% 59,300 American International Group, Inc. .......... 5,099,800 ------------ MEDIA AND COMMUNICATIONS -- 3.7% 119,450 AOL Time Warner, Inc.+ ...................... 6,330,850 211,400 AT&T Corporation - Liberty Media Corporation, Class A+ . ............. 3,697,386 15,900 Clear Channel Communications, Inc.+ ..................... 996,930 ------------ 11,025,166 ------------ See Notes to Financial Statements. 17 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) MEDICAL-BIOMEDICAL / GENE -- 0.3% 7,300 CuraGen Corporation+ ........................ $ 265,720 10,000 Invitrogen Corporation+ ..................... 556,400 ------------ 822,120 ------------ PRECISION INSTRUMENT-- 0.2% 18,300 Applera Corporation- Applied Biosystem ......................... 489,525 ------------ RETAIL -- 3.8% 16,150 BJ's Wholesale Club, Inc.+ .................. 860,149 30,550 Costco Wholesale Corporation ................ 1,254,994 28,850 Dollar Tree Stores, Inc.+ ................... 803,184 51,497 Home Depot, Inc. ............................ 2,397,185 44,300 Limited (The), Inc. ......................... 731,836 27,850 Safeway, Inc.+ .............................. 1,336,800 32,100 Tiffany & Company ........................... 1,162,662 56,050 Wal-Mart Stores, Inc. ....................... 2,735,240 ------------ 11,282,050 ------------ TECHNOLOGY -- 4.0% 191,150 Cisco Systems, Inc.+ ........................ 3,478,930 55,050 Compaq Computer Corporation ................. 852,725 206,400 Intel Corporation ........................... 6,037,200 40,400 SBC Communications, Inc. .................... 1,618,424 ------------ 11,987,279 ------------ TELECOMMUNICATIONS -- 4.2% 97,250 American Tower Corporation, Class A+ .................................. 2,010,158 1 Avaya, Inc.+ ................................ 14 43,100 Comcast Corporation, Class A+ . ............. 1,870,540 2,100 Comcast Corporation, Class H+ . ............. 90,195 85,150 Crown Castle International Corporation+ .............................. 1,396,460 33,000 JDS Uniphase Corporation+ ................... 420,750 53,800 Lucent Technologies, Inc. ................... 333,560 26,350 Nokia Corporation, Sponsored ADR ............................. 580,754 11,150 QUALCOMM, Inc.+ ............................. 652,052 36,500 Qwest Communications International, Inc.+ ...................... 1,163,255 52,290 Verizon Communications ...................... 2,797,515 81,200 WorldCom, Inc.+ ............................. 1,214,752 ------------ 12,530,005 ------------ Total Common Stock (Cost $175,711,554) ....................... 185,860,075 ------------ PRINCIPAL AMOUNT - ----------- AGENCY SECURITIES -- 25.3% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.0% 510,000 6.625% due 09/15/09 ....................... 527,610 317,909 5.940% due 06/25/15 ....................... 319,097 324,972 9.500% due 01/01/17 ....................... 347,616 373,528 11.500% due 05/01/20 ...................... 426,184 223,766 4.450% due 06/15/20 ....................... 222,891 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- (CONTINUED) $ 556,667 8.500% due 03/01/30 ....................... $ 585,196 542,233 8.000% due 06/01/30 ....................... 559,681 957,503 8.000% due 07/01/30 ....................... 988,315 625,198 8.000% due 08/01/30 ....................... 645,317 439,642 8.500% due 08/01/30 ....................... 462,173 835,816 8.000% due 09/01/30 ....................... 862,712 725,929 8.000% due 10/01/30 ....................... 749,289 490,902 8.500% due 10/01/30 ....................... 516,061 763,550 8.000% due 11/01/30 ....................... 788,121 399,323 8.000% due 04/01/31 ....................... 412,173 4,700,000 7.500% due 07/01/31 ....................... 4,798,418 1,800,000 7.000% due 08/01/31 ....................... 1,803,942 ------------ 15,014,796 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 14.3% 2,020,000 6.340% due 02/04/08 ....................... 2,020,000 4,085,000 5.250% due 01/15/09 ....................... 3,905,628 382,400 10.000% due 11/01/18 ...................... 417,055 339,702 11.000% due 09/01/19 ...................... 381,245 37,651 4.513% due 03/25/24 ....................... 37,909 642,677 3.955% due 10/25/24 ....................... 641,269 392,496 9.000% due 07/01/25 ....................... 421,687 414,685 9.000% due 04/01/26 ....................... 446,690 3,895,000 6.250% due 05/15/29 ....................... 3,727,632 2,200,000 6.500% due 01/15/30 ....................... 2,164,932 4,940,000 7.125% due 01/15/30 ....................... 5,265,694 899,487 9.500% due 04/01/30 ....................... 971,716 1,312,385 8.500% due 07/01/30 ....................... 1,379,225 800,000 7.500% due 07/15/30 ....................... 816,248 366,617 8.500% due 09/01/30 ....................... 385,289 596,054 8.500% due 10/01/30 ....................... 626,411 5,253,312 8.500% due 11/01/30 ....................... 5,520,863 1,418,842 8.500% due 12/01/30 ....................... 1,491,104 663,985 8.500% due 01/01/31 ....................... 697,802 3,850,000 7.000% due 06/14/31 ....................... 3,866,863 7,600,000 8.000% due 07/01/31 ....................... 7,849,356 ------------ 43,034,618 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 6.0% 101,945 10.500% due 12/15/14 ...................... 114,671 60,200 9.500% due 04/15/17 ....................... 65,899 104,240 9.500% due 05/15/17 ....................... 114,108 93,995 9.500% due 08/15/17 ....................... 102,894 370,448 10.000% due 08/15/17 ...................... 413,075 68,491 9.500% due 10/15/17 ....................... 74,975 55,722 9.500% due 11/15/17 ....................... 60,997 293,368 9.500% due 12/15/17 ....................... 322,797 99,496 9.500% due 07/15/18 ....................... 108,916 282,419 9.500% due 10/15/18 ....................... 309,156 116,770 9.500% due 09/15/19 ....................... 127,825 255,937 9.000% due 12/15/19 ....................... 276,729 366,472 9.500% due 06/15/20 ....................... 401,165 384,369 10.000% due 12/15/20 ...................... 426,650 351,849 9.500% due 12/15/21 ....................... 385,158 308,322 10.000% due 07/15/22 ...................... 342,237 See Notes to Financial Statements. 18 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- (CONTINUED) $ 498,818 6.375% due 01/20/25 ....................... $ 506,221 198,718 10.000% due 02/15/25 ...................... 220,577 121,797 6.375% due 02/20/25 ....................... 123,604 364,527 6.375% due 03/20/25 ....................... 369,823 384,603 7.375% due 04/20/25 ....................... 391,971 49,657 7.375% due 05/20/25 ....................... 50,626 578,225 7.375% due 06/20/25 ....................... 587,056 198,795 7.750% due 07/20/25 ....................... 203,300 152,547 7.750% due 09/20/27 ....................... 155,932 98,445 7.625% due 10/20/27 ....................... 100,814 225,905 7.625% due 11/20/27 ....................... 231,306 74,840 7.625% due 12/20/27 ....................... 76,629 11,200,000 7.000% due 07/01/30 ....................... 11,298,000 ------------ 17,963,111 ------------ Total Agency Securities (Cost $74,998,986) ........................ 76,012,525 ------------ CORPORATE FIXED INCOME SECURITIES -- 13.1% 420,000 Aetna, Inc. 7.875% due 03/01/11 ....................... 407,026 605,000 AIG SunAmerica Global Finance 6.300% due 05/10/11++ ..................... 596,235 420,000 Albertsons, Inc., Debentures 7.450% due 08/01/29 ....................... 390,936 445,000 America West Airlines 7.100% due 04/02/21++ ..................... 440,301 90,000 American Electric Power 6.125% due 05/15/06 ....................... 88,620 240,000 American Express 6.875% due 11/01/05 ....................... 250,224 255,000 American General Corporation, Notes 7.500% due 07/15/25 ....................... 267,640 210,000 American General Finance, Senior Notes 6.750% due 11/15/04 ....................... 217,524 445,000 American Home Products 6.700% due 03/15/11++ ..................... 445,255 250,000 Anthem Insurance, Senior Notes 9.000% due 04/01/27++ ..................... 232,031 450,000 AOL Time Warner, Inc. 7.625% due 04/15/31 ....................... 449,888 195,000 AT&T Corporation 6.500% due 03/15/29 ....................... 166,501 330,000 AT&T Wireless Group 8.750% due 03/01/31++ ..................... 342,883 390,000 AXA Financial, Inc., Senior Notes 6.500% due 04/01/08 ....................... 389,633 380,000 Bank of America Corporation 7.400% due 01/15/11 ....................... 394,736 165,000 Bank of Boston Corporation 6.625% due 12/01/05 ....................... 169,473 485,000 Bank One Corporation, Subordinate Notes 6.000% due 02/17/09 ....................... 462,768 375,000 BellSouth Telecommunications, Inc., Debentures 6.375% due 06/01/28 ....................... 333,521 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ $ 310,000 Bristol-Myers Squibb Company 6.800% due 11/15/26 ....................... $ 313,041 220,000 Centex Corporation 7.875% due 02/01/11 ....................... 217,747 300,000 Chase Manhattan Corporation, Subordinate Notes 6.000% due 02/15/09 ....................... 288,637 545,000 Chevron Corporation 6.625% due 10/01/04 ....................... 565,977 145,000 Cigna Corporation 7.000% due 01/15/11 ....................... 143,839 500,000 CIT Group, Inc. 5.625% due 05/17/04 ....................... 495,280 580,000 CitiCorp, Subordinate Notes 6.375% due 11/15/08 ....................... 573,259 Citigroup, Inc. 190,000 5.750% due 05/10/06 ....................... 188,157 60,000 7.250% due 10/01/10 ....................... 62,283 300,000 Clear Channel Communications 7.650% due 09/15/10 ....................... 310,977 450,000 CMS Panhandle Holding Company, Senior Notes 7.000% due 07/15/29 ....................... 373,633 645,000 Conoco, Inc., Senior Notes 6.950% due 04/15/29 ....................... 619,826 Continental Airlines, Inc., Pass Through Certificates 231,069 6.648% due 03/15/17 ....................... 225,225 163,789 6.545% due 08/02/19 ....................... 158,601 265,000 Cox Communications, Inc. 7.750% due 11/01/10 ....................... 277,582 DaimlerChrysler North America Holding Corporation, Company Guarantee 220,000 7.200% due 09/01/09 ....................... 218,649 65,000 8.500% due 01/18/31 ....................... 68,905 Dayton Hudson Corporation, Debentures 180,000 6.750% due 01/01/28 ....................... 171,126 180,000 6.650% due 08/01/28 ....................... 168,928 120,000 Delphi Auto Systems Corporation, Debentures 7.125% due 05/01/29 ....................... 110,100 160,000 DTE Energy Company 7.050% due 06/01/11 ....................... 161,698 EOP Operating LP 240,000 7.250% due 06/15/28 ....................... 219,734 245,000 7.500% due 04/19/29 ....................... 230,986 250,000 Equitable Life Assurance 6.950% due 12/01/05++ ..................... 258,325 55,000 Exelon Corporation 6.750% due 05/01/11 ....................... 53,860 640,000 Farmers Exchange Capital Insurance 7.050% due 07/15/28++ ..................... 550,298 Federated Department Stores, Debentures 80,000 8.500% due 06/01/10 ....................... 87,166 335,000 6.900% due 04/01/29 ....................... 298,575 See Notes to Financial Statements. 19 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) $ 334,622 Fifty Seventh Street Association 7.125% due 06/01/17 ....................... $ 307,159 145,000 FleetBoston Financial Corporation, Subordinate Notes 6.625% due 02/01/04 ....................... 148,107 570,000 Florida Windstorm 7.125% due 02/25/19++ ..................... 572,372 Ford Motor Company 710,000 6.625% due 10/01/28 ....................... 617,579 145,000 7.450% due 07/16/31 ....................... 139,335 340,000 Ford Motor Credit Company 7.375% due 10/28/09 ....................... 343,645 490,000 General Electric Capital Corporation, Notes, Series A 7.375% due 01/19/10 ....................... 527,578 545,000 Goldman Sachs Group, Inc. 6.875% due 01/15/11 ....................... 543,185 405,000 Hartford Life Insurance Company, Debentures 7.650% due 06/15/27 ....................... 418,102 440,000 Hertz Corporation, Senior Notes 7.625% due 08/15/07 ....................... 452,624 585,000 Home Depot, Inc., Senior Notes 6.500% due 09/15/04 ....................... 605,772 600,000 Household Finance Corporation 8.000% due 07/15/10 ....................... 645,270 330,000 Hyatt Equities LLC 9.250% due 05/15/05++ ..................... 348,958 295,000 International Flavors and Fragrance 6.450% due 05/15/06++ ..................... 293,074 630,000 John Hancock, Notes 7.375% due 02/15/24 ....................... 631,008 560,000 Johnson and Johnson, Debentures 6.625% due 09/01/09 ....................... 573,233 285,000 Kellogg Company 7.450% due 04/01/31++ ..................... 281,067 Kroger Company, Debentures 105,000 7.500% due 04/01/31 ....................... 102,370 425,000 7.700% due 06/01/29 ....................... 429,506 350,000 Lehman Brothers, Inc., Senior Subordinate Notes 7.125% due 07/15/02 ....................... 358,649 185,000 Lockheed Martin Corporation, Notes 8.200% due 12/01/09 ....................... 199,334 Lowe's Companies, Inc., Debentures 480,000 6.875% due 02/15/28 ....................... 449,870 180,000 6.500% due 03/15/29 ....................... 160,663 455,000 Marriott International 7.000% due 01/15/08++ ..................... 456,318 May Department Stores Company 15,000 9.750% due 02/15/21 ....................... 17,617 560,000 6.700% due 09/15/28 ....................... 513,565 35,000 7.875% due 03/01/30 ....................... 36,949 175,000 MBNA America Bank NA 6.500% due 06/20/06 ....................... 172,562 255,000 Merck & Company, Inc., Debentures 5.950% due 12/01/28 ....................... 230,597 Metropolitan Life Insurance Company 250,000 7.450% due 11/01/23 ....................... 234,298 250,000 7.800% due 11/01/25 ....................... 254,210 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ $ 490,000 Midamerican Funding LLC 6.750% due 03/01/11 ....................... $ 473,330 250,000 Nationwide Mutual Insurance 7.500% due 02/15/24++ ..................... 227,130 250,000 New York Life Insurance Notes 7.500% due 12/15/23++ ..................... 236,825 250,000 News America , Inc., Debentures 7.280% due 06/30/28 ....................... 223,500 300,000 News America Holdings, Inc., Senior Notes 8.500% due 02/15/05 ....................... 322,137 410,000 Nisource Finance 7.875% due 11/15/10 ....................... 431,562 550,000 Northern Trust Company 6.625% due 10/01/03 ....................... 567,371 190,000 Norwest Financial, Inc., Senior Notes 5.625% due 02/03/09 ....................... 178,175 450,000 Peco Energy Transport Trust 6.520% due 12/31/10 ....................... 448,669 625,000 Pharmacia Corporation, Debentures 6.600% due 12/01/28 ....................... 599,931 425,000 Prime Property Funding II 6.800% due 08/15/02++ ..................... 431,235 555,000 Procter and Gamble Company 6.600% due 12/15/04 ....................... 577,295 190,000 Progress Energy, Inc. 7.100% due 03/01/11 ....................... 192,100 575,000 Prudential Insurance Company 8.300% due 07/01/25++ ..................... 611,800 435,000 Qwest Capital Funding, Company Guarantee 7.900% due 08/15/10 ....................... 447,759 Raytheon Company 205,000 8.200% due 03/01/06 ....................... 214,867 225,000 8.300% due 03/01/10 ....................... 235,602 Safeway, Inc. 55,000 6.500% due 03/01/11 ....................... 53,512 230,000 7.250% due 02/01/31 ....................... 222,721 225,000 State Street Corporation 7.650% due 06/15/10 ....................... 242,663 215,000 Sun Microsystems, Inc., Senior Notes 7.650% due 08/15/09 ....................... 219,532 235,000 Suntrust Banks, Inc. 7.750% due 05/01/10 ....................... 252,818 75,000 Target Corporation 7.500% due 08/15/10 ....................... 79,040 690,000 Tennessee Valley Authority 5.625% due 01/18/11 ....................... 664,222 90,000 Time Warner, Inc., Company Guarantee 6.625% due 05/15/29 ....................... 79,718 115,000 Time Warner, Inc., Debentures 7.570% due 02/01/24 ....................... 113,789 210,000 TRW, Inc. 7.625% due 03/15/06 ....................... 217,142 355,000 United Parcel Service, Debentures 8.375% due 04/01/20 ....................... 410,856 535,000 United Technologies Corporation 6.700% due 08/01/28 ....................... 509,245 US Airways, Inc., Pass Through Certificates 198,668 8.110% due 02/20/17 ....................... 209,601 510,447 6.850% due 01/30/18 ....................... 471,602 370,000 8.020% due 02/05/19 ....................... 392,193 See Notes to Financial Statements. 20 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) $ 575,000 Verizon Corporation, Debentures 6.940% due 04/15/28 ....................... $ 539,965 370,000 Viacom, Inc. 6.625% due 05/15/11++ ..................... 362,744 990,000 Wal-Mart Stores, Inc., Senior Notes 6.875% due 08/10/09 ....................... 1,025,660 Washington Mutual, Inc. 205,000 8.250% due 04/01/10 ....................... 221,549 55,000 6.875% due 06/15/11 ....................... 54,632 160,000 Wellpoint Health Network 6.375% due 06/15/06 ....................... 158,859 365,000 Wells Fargo Company 5.900% due 05/21/06 ....................... 364,314 255,000 Williams Cos 7.500% due 01/15/31++ ..................... 237,635 635,000 World Financial Properties, Inc., Pass Through Certificates 6.950% due 09/01/13++ ..................... 639,235 120,000 WorldCom, Inc. 8.250% due 05/15/31 ....................... 117,247 655,000 WorldCom, Inc., Senior Notes 6.950% due 08/15/28 ....................... 556,685 ------------ Total Corporate Fixed Income Securities (Cost $39,531,223) ........................ 39,358,652 ------------ ASSET BACKED SECURITIES -- 4.5% 450,000 America Express Credit Account 5.530% due 10/15/08 ....................... 445,500 162,018 Arcadia Automobile Receivables Trust 6.375% due 01/15/03 ....................... 162,761 726,924 BMW Credit Corporation Trust 6.650% due 02/25/03 ....................... 736,139 850,000 Carat (GM) 2000-1 5.340% due 09/15/03 ....................... 856,695 42,547 Centex Home Equity 5.910% due 04/25/19 ....................... 42,472 Citibank Credit Card Issuance Trust 320,000 7.450% due 09/15/07 ....................... 330,290 770,000 6.875% due 11/16/09 ....................... 797,329 600,000 Connecticut RRB Special Purpose 6.210% due 12/30/11 ....................... 590,607 Daimler Chrysler Auto Trust 547,694 6.210% due 12/08/03 ....................... 555,071 830,000 6.820% due 09/06/04 ....................... 855,344 Detroit Edison Securitization 340,000 5.875% due 03/01/10 ....................... 336,957 395,000 6.420% due 03/01/15 ....................... 386,558 147,503 EQCC Home Equity Loan Trust 6.548% due 04/25/10 ....................... 147,364 76,646 First Security Auto Grantor Trust 5.970% due 04/15/04 ....................... 76,945 Ford Credit Auto Owner Trust 35,545 6.200% due 04/15/02 ....................... 35,582 715,000 5.350% due 07/15/03 ....................... 720,846 365,000 6.740% due 06/15/04 ....................... 375,457 60,424 Green Point Manufactured Housing 5.780% due 12/15/09 ....................... 60,447 79,023 Green Tree Financial Corporation 5.600% due 12/01/30 ....................... 79,096 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ $ 88,877 HFC Home Equity Loan 6.830% due 12/20/16 ....................... $ 88,984 540,000 Honda Auto Lease Trust 6.620% due 07/15/04 ....................... 553,551 MBNA Master Credit Card Trust 540,000 7.350% due 07/16/07 ....................... 571,449 270,000 6.900% due 01/15/08 ....................... 281,995 285,000 5.900% due 08/15/11 ....................... 279,489 695,000 MMCA Automobile Trust 7.000% due 06/15/04 ....................... 713,269 Nissan Auto Receivables Owner Trust 550,000 6.710% due 03/17/03 ....................... 554,983 173,872 5.450% due 04/15/04 ....................... 174,533 600,000 6.720% due 08/16/04 ....................... 613,872 600,000 Peco Energy Trust 7.625% due 03/01/10 ....................... 642,157 345,000 PSE&G Transitions Funding 6.610% due 06/15/15 ....................... 343,454 400,000 Rental Car Finance Corporation 6.450% due 08/25/05 ....................... 408,499 416,720 Residential Asset Securities Corporation 7.205% due 08/25/16 ....................... 421,807 330,000 Toyota Auto Recreation Owner Trust 5.380% due 12/15/03 ....................... 332,720 ------------ Total Asset Backed Securities (Cost $13,358,289) ........................ 13,572,222 ------------ U.S. TREASURY NOTES -- 0.1% 255,000 3.640% due 11/15/01 ....................... 251,599 ------------ Total U.S.Treasury Notes (Cost $251,599) ........................... 251,599 ------------ REPURCHASE AGREEMENT -- 5.2% 15,668,000 Agreement with J.P. Morgan Securities, Inc., 3.8% to be repurchased at $15,692,962 on 07/02/01, collateralized by $13,960,000 U.S. Treasury Bonds 7.25% due 05/15/16, market value $15,981,360 .................. 15,668,000 ------------ Total Repurchase Agreement (Cost $15,668,000) ........................ 15,668,000 ------------ TOTAL INVESTMENTS (COST $319,519,651*)........................... 110.1% 330,723,073 OTHER ASSETS AND LIABILITIES (NET).......................................... (10.1)% (30,240,224) ------- ------------ NET ASSETS........................................ 100.0% $300,482,849 ======= ============ - ----------------------- * Aggregate cost for federal tax purposes. + Non-income producing security. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Abbreviations: ADR -- American Depository Receipt See Notes to Financial Statements. 21 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 99.2% AEROSPACE AND DEFENSE -- 0.4% 10,900 Boeing Company .............................. $ 606,040 900 Lockheed Martin Corporation ................. 33,345 ------------ 639,385 ------------ BASIC INDUSTRY -- 2.4% 8,600 Air Products and Chemicals, Inc. ............ 393,450 100 Alcan, Inc. ................................. 4,202 26,700 Alcoa, Inc. ................................. 1,051,980 13,500 Dow Chemical Company ........................ 448,875 3,500 Georgia-Pacific Group ....................... 118,475 8,300 PPG Industries, Inc. ........................ 436,331 9,500 Praxair, Inc. ............................... 446,500 11,600 Rohm and Haas Company ....................... 381,640 8,000 Smurfit-Stone Container Corporation+ .............................. 129,600 800 Temple-Inland, Inc. ......................... 42,632 ------------ 3,453,685 ------------ CAPITAL GOODS -- 0.8% 100 Black & Decker Corporation .................. 3,946 4,100 Cooper Industries, Inc. ..................... 162,319 3,000 Eaton Corporation ........................... 210,300 4,900 Emerson Electric Company .................... 296,450 5,300 Grainger (W.W.), Inc. ....................... 218,148 7,300 Rockwell International Corporation .......... 278,276 ------------ 1,169,439 ------------ CONSUMER STAPLES -- 5.8% 29,200 Coca-Cola Company ........................... 1,314,000 2,300 General Mills, Inc. ......................... 100,694 25,400 Gillette Company ............................ 736,346 8,500 Heinz (H.J.) Company ........................ 347,565 7,700 Kellogg Company ............................. 223,300 4,100 Kraft Foods, Inc.+ .......................... 127,100 10,200 PepsiCo, Inc. ............................... 450,840 59,500 Philip Morris Companies, Inc. ............... 3,019,625 21,700 Procter & Gamble Company .................... 1,384,460 4,500 Quaker Oats Company ......................... 410,625 2,700 Unilever NV, NY Shares ...................... 160,839 ------------ 8,275,394 ------------ CYCLICAL -- 1.8% 41,000 Cendant Corporation+ ........................ 799,500 9,000 Delphi Automotive Systems Corporation ............................... 143,370 5,100 Ford Motor Company .......................... 125,205 4,500 Goodrich (B.F.) Company ..................... 170,910 1,000 Harley-Davidson, Inc. ....................... 47,080 8,800 Hasbro, Inc. ................................ 127,160 400 International Game Technology+ .............. 25,036 4,600 Johnson Controls, Inc. ...................... 333,362 6,100 Jones Apparel Group, Inc.+ .................. 263,520 3,500 Lear Corporation+ ........................... 122,150 23,700 Mattel, Inc. ................................ 448,404 ------------ 2,605,697 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ DIVERSIFIED -- 2.9% 4,000 Danaher Corporation ......................... $ 224,000 3,600 du Pont (E.I.) de Nemours & Company ................................. 173,664 8,800 Eastman Kodak Company ....................... 410,784 8,400 Ingersoll-Rand Company ...................... 346,080 3,300 Parker Hannifin Corporation ................. 140,052 46,366 Tyco International, Ltd. .................... 2,526,947 4,900 United Technologies Corporation ............. 358,974 ------------ 4,180,501 ------------ DRUGS AND MEDICAL PRODUCTS -- 9.3% 4,800 Abbott Laboratories ......................... 230,448 20,000 American Home Products Corporation ............................... 1,168,800 15,000 Bristol-Myers Squibb Company ................ 784,500 6,900 Forest Laboratories, Inc.+ .................. 489,900 45,144 Johnson & Johnson ........................... 2,257,200 10,200 Lilly (Eli) and Company ..................... 754,800 31,000 Merck & Company, Inc. ....................... 1,981,210 90,500 Pfizer, Inc. ................................ 3,624,525 24,100 Pharmacia Corporation ....................... 1,107,395 26,800 Schering-Plough Corporation ................. 971,232 200 Vertex Pharmaceuticals, Inc.+ . ............. 9,900 ------------ 13,379,910 ------------ ENERGY -- 7.9% 6,500 Anadarko Petroleum Corporation .............. 351,195 10,800 Baker Hughes, Inc. .......................... 361,800 18,300 Chevron Corporation ......................... 1,656,150 23,600 Conoco, Inc., Class B ....................... 682,040 6,300 Cooper Cameron Corporation+ ................. 351,540 2,800 Diamond Offshore Drilling, Inc. ............. 92,540 7,300 Dynegy Inc., Class A ........................ 339,450 50,200 Exxon Mobil Corporation ..................... 4,384,970 16,800 Global Marine, Inc.+ ........................ 312,984 1,500 Rowan Companies, Inc.+ ...................... 33,150 22,700 Royal Dutch Petroleum Company, NY Shares ................................. 1,322,729 14,100 Texaco, Inc. ................................ 939,060 11,900 TXU Corporation ............................. 573,461 ------------ 11,401,069 ------------ FINANCIAL SERVICES -- 14.5% 2,100 A. G. Edwards, Inc. ......................... 94,500 24,800 American Express Company .................... 962,240 4,100 AmeriCredit Corporation+ .................... 212,995 12,200 AmSouth Bancorporation ...................... 225,578 7,000 Bank of America Corporation ................. 420,210 600 Bank of New York Company, Inc. .............. 28,800 35,100 Bank One Corporation ........................ 1,256,580 3,500 Banknorth Group, Inc. ....................... 79,275 15,000 Capital One Financial Corporation ........... 900,000 2,300 Charter One Financial, Inc. ................. 73,370 94,300 Citigroup, Inc. ............................. 4,982,812 1,600 Compass Bancshares, Inc. .................... 42,400 8,900 Countrywide Credit Industries, Inc. ......... 408,332 400 Dime Bancorp, Inc. .......................... 14,900 17,400 E*TRADE Group, Inc.+ ........................ 112,230 See Notes to Financial Statements. 22 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) FINANCIAL SERVICES -- (CONTINUED) 18,300 Fannie Mae .................................. $ 1,558,245 16,200 First Union Corporation ..................... 566,028 15,000 Freddie Mac ................................. 1,050,000 4,000 Golden State Bancorp, Inc. .................. 123,200 6,400 Goldman Sachs Group, Inc. ................... 549,120 3,500 GreenPoint Financial Corporation ............ 134,400 3,700 Hibernia Corporation, Class A ............... 65,860 10,100 Household International, Inc. ............... 673,670 2,000 IndyMac Bancorp, Inc.+ ...................... 53,600 14,200 KeyCorp ..................................... 369,910 5,300 Lincoln National Corporation ................ 274,275 800 Marshall & Ilsley Corporation ............... 43,120 2,500 MBNA Corporation ............................ 82,375 100 Mellon Financial Corporation ................ 4,600 1,300 Merrill Lynch & Company, Inc. ............... 77,025 4,500 Morgan Stanley Dean Witter & Company ................................. 289,035 4,800 National Commerce Financial Corporation ............................... 116,976 13,200 PNC Financial Services Group ................ 868,428 7,700 Providian Financial Corporation ............. 455,840 19,800 Schwab (Charles) Corporation ................ 302,940 300 St. Paul Companies, Inc. .................... 15,207 13,400 Stilwell Financial, Inc. .................... 449,704 500 SunTrust Banks, Inc. ........................ 32,390 10,800 TD Waterhouse Group, Inc.+ .................. 118,044 6,200 Torchmark Corporation ....................... 249,302 64,500 U.S. Bancorp ................................ 1,469,955 1,500 Wachovia Corporation ........................ 106,725 21,900 Washington Mutual, Inc. ..................... 822,345 800 Wilmington Trust Corporation ................ 50,120 ------------ 20,786,661 ------------ HEALTH SERVICES -- 3.5% 2,200 Aetna, Inc.+ ................................ 56,914 16,500 Amgen, Inc.+ ................................ 1,001,220 9,000 Baxter International, Inc. .................. 441,000 12,600 Becton, Dickinson & Company ................. 450,954 10,100 Boston Scientific Corporation+ .............. 171,700 6,300 CIGNA Corporation ........................... 603,666 2,500 C.R. Bard, Inc. ............................. 142,375 7,800 Guidant Corporation+ ........................ 280,800 7,900 HCA-Healthcare Company ...................... 357,001 4,100 Human Genome Sciences, Inc.+ ................ 247,025 4,100 St. Jude Medical, Inc.+ ..................... 246,000 20,400 Tenet Healthcare Corporation+ . ............. 1,052,436 ------------ 5,051,091 ------------ INSURANCE -- 3.7% 25,300 Allstate Corporation ........................ 1,112,947 7,800 Ambac Financial Group, Inc. ................. 453,960 22,400 American General Corporation ................ 1,040,480 20,100 American International Group, Inc. .......... 1,728,600 4,400 Hartford Financial Services Group, Inc. ............................... 300,960 2,000 Marsh & McLennan Companies, Inc. ............ 202,000 7,200 MBIA, Inc. .................................. 400,896 1,900 Protective Life Corporation ................. 65,303 ------------ 5,305,146 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ MEDIA AND COMMUNICATIONS -- 4.1% 5,100 Adelphia Communications Corporation, Class A+ ..................... $ 209,100 65,000 AOL Time Warner, Inc.+ ...................... 3,445,000 22,600 AT&T Corporation - Liberty Media Corporation, Class A+ ..................... 395,274 400 Charter Communications, Inc.+ . ............. 9,340 17,100 Gemstar-TV Guide International, Inc.+ ...................... 752,400 300 Tribune Company ............................. 12,003 20,800 Viacom, Inc., Class B+ ...................... 1,076,400 ------------ 5,899,517 ------------ PAPER AND ALLIED PRODUCTS -- 0.4% 11,100 Kimberly-Clark Corporation .................. 620,490 ------------ PRECISION INSTRUMENT -- 0.1% 5,600 Applera Corporation- Applied Biosystems Group .......................... 149,800 ------------ RETAIL -- 7.4% 6,200 Abercrombie & Fitch Company, Class A+ .................................. 275,900 200 Best Buy Company, Inc.+ ..................... 12,704 5,800 Circuit City Stores-Circuit City Group ................................ 104,400 3,600 Costco Wholesale Corporation ................ 147,888 1,600 eBay, Inc.+ ................................. 109,584 8,200 Estee Lauder Companies, Inc., Class A ................................... 353,420 16,300 Federated Department Stores, Inc.+ .......... 692,750 17,200 General Motors Corporation .................. 1,106,820 37,700 Home Depot, Inc. ............................ 1,754,935 300 Kohl's Corporation+ ......................... 18,819 20,000 Kroger Company+ ............................. 500,000 8,600 Limited (The), Inc. ......................... 142,072 1,000 Lowe's Companies, Inc. ...................... 72,550 12,900 May Department Stores Company ............... 441,954 3,400 NIKE, Inc., Class B ......................... 142,766 14,900 Safeway, Inc.+ .............................. 715,200 24,200 Target Corporation .......................... 837,320 17,400 TJX Companies, Inc. ......................... 554,538 3,900 Walgreen Company ............................ 133,185 50,200 Wal-Mart Stores, Inc. ....................... 2,449,760 ------------ 10,566,565 ------------ SERVICES -- 2.1% 400 Carnival Corporation ........................ 12,280 11,100 Comcast Corporation, Class A+ . ............. 481,740 5,000 Fox Entertainment Group, Inc., Class A+ .................................. 139,500 10,600 Gannett Company, Inc. ....................... 698,540 18,800 Hilton Hotels Corporation ................... 218,080 9,100 Marriott International, Inc., Class A ....... 430,794 17,900 McDonald's Corporation ...................... 484,374 10,300 Starwood Hotels and Resorts Worldwide, Inc. ........................... 383,984 4,400 Waste Management, Inc. ...................... 135,608 ------------ 2,984,900 ------------ See Notes to Financial Statements. 23 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) TECHNOLOGY -- 21.2% 2,400 Adobe Systems, Inc. ......................... $ 112,800 1,800 Agilent Technologies, Inc.+ ................. 58,500 7,100 Altera Corporation+ ......................... 205,900 5,600 Ameren Corporation .......................... 239,120 1,300 Analog Devices, Inc.+ ....................... 56,225 14,400 Applied Materials, Inc.+ .................... 707,040 8,500 Automatic Data Processing, Inc. ............. 422,450 8,900 BEA Systems, Inc.+ .......................... 273,319 1,500 Cabletron Systems, Inc.+ .................... 34,275 6,400 Citrix Systems, Inc.+ ....................... 223,360 41,000 Compaq Computer Corporation ................. 635,090 13,400 Corning, Inc. ............................... 223,914 25,900 Dell Computer Corporation+ .................. 672,105 2,000 Dover Corporation ........................... 75,300 2,900 Electronic Data Systems Corporation ......... 181,250 26,800 EMC Corporation+ ............................ 778,540 130,500 General Electric Company .................... 6,361,875 11,200 Hewlett-Packard Company ..................... 320,320 10,500 Honeywell International, Inc. ............... 367,395 91,200 Intel Corporation ........................... 2,667,600 25,400 International Business Machines Corporation ............................... 2,870,200 800 Internet Security Systems, Inc.+ ............ 38,848 3,800 ITT Industries, Inc. ........................ 168,150 7,500 JDS Uniphase Corporation+ ................... 95,625 3,500 Lattice Semiconductor Corporation+ .......... 85,400 9,200 Linear Technology Corporation ............... 406,824 6,800 LSI Logic Corporation+ ...................... 127,840 4,300 Maxim Integrated Products, Inc.+ ............ 190,103 5,100 Micron Technology, Inc.+ .................... 209,610 68,700 Microsoft Corporation+ ...................... 5,015,100 54,000 Motorola, Inc. .............................. 894,240 16,700 NCR Corporation+ ............................ 784,900 63,000 Oracle Corporation+ ......................... 1,197,000 8,700 Parametric Technology Corporation+ .............................. 121,713 9,200 Peregrine Systems, Inc.+ .................... 266,800 1,900 PMC-Sierra, Inc.+ ........................... 59,033 10,900 QUALCOMM, Inc.+ ............................. 637,432 100 RSA Security, Inc.+ ......................... 3,095 3,200 Siebel Systems, Inc.+ ....................... 150,080 59,000 Sun Microsystems, Inc.+ ..................... 927,480 20,200 Texas Instruments, Inc. ..................... 636,300 8,000 VERITAS Software Corporation+ . ............. 532,240 8,400 Xilinx, Inc.+ ............................... 346,416 ------------ 30,380,807 ------------ TELECOMMUNICATIONS -- 7.4% 32,000 AT&T Corporation ............................ 704,000 3,616 Avaya, Inc.+ ................................ 49,539 16,900 BellSouth Corporation ....................... 680,563 700 Broadcom Corporation, Class A+ .............. 29,932 200 BroadWing, Inc.+ ............................ 4,890 12,600 CIENA Corporation+ .......................... 478,800 111,600 Cisco Systems, Inc.+ ........................ 2,031,120 21,000 Global Crossing, Ltd.+ ...................... 181,440 10,400 Level 3 Communications, Inc.+ . ............. 57,096 34,200 Lucent Technologies, Inc. ................... 212,040 17,300 Nextel Communications, Inc., Class A+ .................................. 302,750 VALUE SHARES (NOTE 1) - ----------- ------------ 500 Nortel Networks Corporation ................. $ 4,545 31,200 Qwest Communications International, Inc.+ ...................... 994,344 42,400 SBC Communications, Inc. .................... 1,698,544 26,100 Sprint Corporation (PCS Group)+ ............. 630,315 39,500 Verizon Communications ...................... 2,113,250 30,500 WorldCom, Inc.+ ............................. 456,280 1,801 Worldcom, Inc. - MCI Group .................. 28,996 ------------ 10,658,444 ------------ TRANSPORTATION -- 1.0% 17,200 Burlington Northern Santa Fe Corporation ............................... 518,924 2,600 C.H. Robinson Worldwide, Inc. ............... 72,514 6,300 Delta Air Lines, Inc. ....................... 277,704 2,500 Enron Corporation ........................... 122,500 500 GATX Corporation ............................ 20,050 24,600 Southwest Airlines Company .................. 454,854 400 Union Pacific Corporation ................... 21,964 ------------ 1,488,510 ------------ UTILITIES -- 2.5% 6,300 Cinergy Corporation ......................... 220,185 8,300 CMS Energy Corporation ...................... 231,155 1,500 Consolidated Edison, Inc. ................... 59,700 7,600 DTE Energy Company .......................... 352,944 22,500 Edison International ........................ 250,875 17,800 Entergy Corporation ......................... 683,342 3,300 FPL Group, Inc. ............................. 198,693 3,900 GPU, Inc. ................................... 137,085 5,000 NiSource, Inc. .............................. 136,650 23,700 PG&E Corporation ............................ 265,440 4,100 Pinnacle West Capital Corporation ........... 194,340 2,000 Potomac Electric Power Company .............. 41,840 9,200 Progress Energy, Inc. ....................... 413,264 3,400 Wisconsin Energy Corporation ................ 80,818 9,400 Xcel Energy, Inc. ........................... 267,430 ------------ 3,533,761 ------------ Total Common Stock (Cost $146,045,781) ....................... 142,530,772 ------------ PRINCIPAL AMOUNT - ----------- U.S. TREASURY OBLIGATIONS -- 0.8% $ 41,000 3.480% due 08/09/01 ....................... 40,702 650,000 3.595% due 08/16/01 ....................... 647,254 219,000 3.621% due 08/31/01 ....................... 217,734 160,000 5.875% due 11/30/01# ...................... 161,480 ------------ 1,067,170 ------------ Total U.S. Treasury Obligations (Cost $1,067,170) ......................... 1,067,170 ------------ TOTAL INVESTMENTS (COST $147,112,951*)........................... 100.0% 143,597,942 OTHER ASSETS AND LIABILITIES (NET)**........................................ 0.0% 43,395 ------ ------------ NET ASSETS........................................ 100.0% $143,641,337 ====== ============ - ------------------ * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-income producing security. # Security pledged as collateral for open futures contracts. See Notes to Financial Statements. 24 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- 88.4% AEROSPACE AND DEFENSE -- 1.1% $ 160,000 Alliant Techsystems, Inc., Senior Subordinated Notes 8.500% due 05/15/11++ ..................... $ 161,600 BE Aerospace, Inc., Senior Subordinate Notes 125,000 8.000% due 03/01/08 ....................... 119,375 25,000 9.500% due 11/01/08 ....................... 25,250 ------------ 306,225 ------------ AUTOMOTIVES -- 0.9% 100,000 Hayes Lemmerz International, Inc. 11.875% due 06/15/06++ .................... 96,500 75,000 Hayes Lemmerz International, Inc., Company Guarantee 9.125% due 07/15/07 ....................... 56,250 55,000 Lear Corporation 9.500% due 07/15/06 ....................... 57,571 45,000 Navistar International 9.375% due 06/01/06++ ..................... 45,675 25,000 Oxford Automotive, Inc., Company Guarantee 10.125% due 06/15/07 ...................... 15,250 ------------ 271,246 ------------ BROADCASTING AND MEDIA -- 13.2% 55,000 Acme Television, Company Guarantee 10.875% due 09/30/04^ ..................... 51,700 Adelphia Communications, Senior Notes 150,000 8.375% due 02/01/08 ....................... 137,250 120,000 9.375% due 11/15/09 ....................... 114,600 100,000 Albritton Communication, Inc., Senior Subordinate Notes 8.875% due 02/01/08 ....................... 99,000 50,000 Avalon Cable Holdings, LLP, Senior Discount Notes 11.875% due 12/01/08^ ..................... 39,000 150,000 Benedek Communications Corporation, Senior Discount Notes 13.250% due 05/15/06^ ..................... 84,000 25,000 Canwest Media, Inc. 10.625% due 05/15/11++ .................... 25,375 325,000 Chancellor Media Corporation, Company Guarantee 8.000% due 11/01/08 ....................... 338,000 Charter Communications Holdings LLC, Senior Discount Notes 270,000 8.250% due 04/01/07^ ...................... 255,825 110,000 9.920% due 04/01/11^ ...................... 75,350 50,000 CSC Holdings, Inc., Senior Subordinate Notes 9.250% due 11/01/05 ....................... 51,250 5,000 Cumulus Media, Inc., Company Guarantee 10.375% due 07/01/08 ...................... 4,975 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ $ 200,000 Echostar DBS Corporation, Senior Notes 9.375% due 02/01/09 ....................... $ 195,000 180,000 Emmis Escrow Corporation 0.000% due 03/15/11++ ..................... 101,700 90,000 Fox/Liberty Networks LLC, Senior Notes 8.875% due 08/15/07 ....................... 94,050 175,000 Frontiervision LP, Senior Subordinate Notes 11.000% due 10/15/06 ...................... 181,125 Granite Broadcasting Corporation, Senior Subordinate Notes 9,000 10.375% due 05/15/05 ...................... 6,255 50,000 8.875% due 05/15/08 ....................... 33,500 90,000 Hollinger International Publishing, Company Guarantee 9.250% due 03/15/07 ....................... 90,900 Lenfest Communications, Senior Subordinate Notes 75,000 10.500% due 06/15/06 ...................... 86,669 50,000 8.250% due 02/15/08 ....................... 52,218 300,000 Lin Holdings Corporation, Senior Discount Notes 10.000% due 03/01/08^ ..................... 235,500 125,000 Lin Television Corporation 8.000% due 01/15/08++ ..................... 120,625 190,000 Paxson Communications Corporation, Senior Subordinate Notes 11.625% due 10/01/02^ ..................... 192,375 105,000 Primerica, Inc. 8.875% due 05/15/11++ ..................... 97,125 140,000 Radio One, Inc. 8.875% due 07/01/11++ ..................... 140,000 140,000 Spanish Broadcasting System 9.625% due 11/01/09 ....................... 130,200 125,000 Telemundo Holdings, Inc., Senior Discount Notes 11.500% due 08/15/08 ...................... 101,875 75,000 Telewest Communication 11.375% due 02/01/10^ ..................... 35,625 20,000 Telewest Plc Yankee Note 9.875% due 02/01/10 ....................... 16,600 135,000 Time Warner Telecom, Inc. 10.125% due 02/01/11 ...................... 121,500 45,000 Time Warner Telecom LLC, Senior Notes 9.750% due 07/15/08 ....................... 40,387 250,000 Transwestern Public Township Capital Corporation 9.625% due 11/15/07++ ..................... 251,875 165,000 UnitedGlobalCom, Inc., Senior Discount Notes 10.750% due 02/15/08^ ..................... 52,800 65,000 XM Satellite Radio, Inc.-Secured 14.000% due 03/15/10 ...................... 39,000 100,000 Young Broadcasting, Inc., Company Guarantee 8.750% due 06/15/07 ....................... 93,000 ------------ 3,786,229 ------------ See Notes to Financial Statements. 25 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) BUILDING AND CONSTRUCTION -- 3.4% $ 125,000 American Standard, Inc. 7.125% due 02/15/03 ....................... $ 124,062 110,000 Atrium Companies, Inc. 10.500% due 05/01/09 ...................... 97,900 215,000 Building Maturity Corporation 8.625% due 12/15/06 ....................... 126,850 110,000 D.R. Horton, Inc. 9.375% due 03/15/11 ....................... 110,000 150,000 Formica Corporation, Senior Subordinate Notes 10.875% due 03/01/09 ...................... 90,000 125,000 Meritage Corporation 9.750% due 06/01/11++ ..................... 124,375 200,000 MMI Products, Inc., Senior Subordinate Notes 11.250% due 04/15/07 ...................... 186,000 Nortek, Inc., Senior Notes 100,000 9.250% due 03/15/07 ....................... 98,500 35,000 8.875% due 08/01/08 ....................... 33,687 ------------ 991,374 ------------ CHEMICALS -- 1.9% 50,000 Avecia Group Plc, Company Guaranteed, Yankee 11.000% due 07/01/09 ...................... 51,000 190,000 Huntsman ICI Chemicals, Ltd. Liability Corporation 10.125% due 07/01/09 ...................... 191,900 Lyondell Chemical Company 55,000 9.625% due 05/01/07 ....................... 54,862 40,000 9.875% due 05/01/07 ....................... 39,900 75,000 Macdermid, Inc. 9.125% due 07/15/11++ ..................... 75,375 45,000 PCI Chemicals Canada, Inc., Company Guarantee 9.250% due 10/15/07+++ .................... 22,050 50,000 PMD Group, Inc. 11.000% due 02/28/11++ .................... 50,750 35,000 Sterling Chemicals, Inc., Company Guarantee 12.375% due 07/15/06 ...................... 27,300 Sterling Chemicals, Inc., Senior Subordinate Notes 40,000 11.750% due 08/15/06 ...................... 9,200 50,000 11.250% due 04/01/07 ...................... 11,000 ------------ 533,337 ------------ COMMERCIAL SERVICES -- 2.0% Allied Waste North America, Inc. 75,000 7.625% due 01/01/06++ ..................... 73,875 75,000 8.875% due 04/01/08++ ..................... 76,687 60,000 Allied Waste North America, Inc., Company Guarantee 10.000% due 08/01/09 ...................... 61,650 30,000 Continental Resources, Company Guarantee 10.250% due 08/01/08 ...................... 26,100 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ COMMERCIAL SERVICES -- (CONTINUED) $ 80,000 Iron Mountain, Inc., Company Guarantee 8.750% due 09/30/09 ....................... $ 80,800 100,000 Pierce Leahy Corporation, Senior Subordinate Notes 9.125% due 07/15/07 ....................... 103,500 80,000 Sovereign Specialty Chemicals 11.875% due 03/15/10 ...................... 72,000 World Color Press, Inc., Senior Subordinate Notes 75,000 8.375% due 11/15/08 ....................... 75,818 5,000 7.750% due 02/15/09 ....................... 4,874 ------------ 575,304 ------------ COMPUTER SERVICES AND SOFTWARE -- 1.1% 50,000 Exodus Communications, Inc. 11.625% due 07/15/10 ...................... 17,250 100,000 Exodus Communications, Inc., Senior Notes 11.250% due 07/01/08 ...................... 33,000 PSI Net, Inc., Senior Notes 25,000 10.500% due 12/01/06+++ ................... 1,562 40,000 11.500% due 11/01/08+++ ................... 2,400 140,000 11.000% due 08/01/09+++ ................... 8,400 Unisys Corporation, Senior Notes 145,000 8.125% due 06/01/06 ....................... 140,650 115,000 7.875% due 04/01/08 ....................... 110,400 ------------ 313,662 ------------ CONSUMER GOODS-- 0.6% 35,000 Fage Dairy Industries S.A., Senior Notes 9.000% due 02/01/07 ....................... 33,250 150,000 Remington Products Company, LLC, Senior Subordinate Notes 11.000% due 05/15/06++ .................... 145,781 ------------ 179,031 ------------ CONTAINERS -- 2.7% 110,000 Ball Corporation, Company Guarantee 8.250% due 08/01/08 ....................... 111,375 Gaylord Container Corporation, Senior Notes 60,000 9.375% due 06/15/07 ....................... 38,400 115,000 9.750% due 06/15/07 ....................... 72,450 85,000 9.875% due 02/15/08 ....................... 24,650 40,000 Huntsman Packaging Corporation 13.000% due 06/01/10 ...................... 29,200 115,000 Riverwood International Company 10.625% due 08/01/07++ .................... 117,300 220,000 Riverwood International, Company Guarantee 10.250% due 04/01/06 ...................... 223,300 165,000 Silgan Holdings, Inc., Senior Subordinate Debentures 9.000% due 06/01/09 ....................... 167,475 ------------ 784,150 ------------ See Notes to Financial Statements. 26 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) DIVERSIFIED MANUFACTURING -- 0.6% $ 40,000 Actuant Corporation 13.000% due 05/01/09 ...................... $ 40,400 160,000 Blount, Inc. 7.000% due 06/15/05 ....................... 123,200 ------------ 163,600 ------------ EDUCATIONAL -- 0.5% 150,000 Kindercare Learning Centers, Inc., Senior Subordinate Notes 9.500% due 02/15/09 ....................... 148,500 ------------ ELECTRONICS -- 2.0% 145,000 AES Corporation 8.875% due 02/15/11 ....................... 141,375 70,000 Amkor Technology, Inc. 9.250% due 02/15/08++ ..................... 67,025 135,000 CMS Energy Corporation 8.500% due 04/15/11 ....................... 131,120 95,000 Fisher Scientific International 9.000% due 02/01/08 ....................... 93,100 155,000 Flextronics International, Ltd. 9.875% due 07/01/10 ....................... 155,000 ------------ 587,620 ------------ ENGINEERING AND TECHNOLOGY -- 1.6% 65,000 Applied Extrusion Technology, Senior Notes 11.500% due 04/01/02 ...................... 65,081 90,000 Argo-Tech Corporation, Company Guarantee 8.625% due 10/01/07 ....................... 80,550 305,000 General Binding Corporation, Company Guarantee 9.375% due 06/01/08 ....................... 207,400 100,000 Moog, Inc., Senior Subordinate Notes 10.000% due 05/01/06 ...................... 102,500 ------------ 455,531 ------------ FINANCIAL -- 3.3% 230,000 Commercial Mortgage Acceptance Corporation 5.440% due 05/15/13 ....................... 155,833 40,000 Madison River Cap, Senior Notes 13.250% due 03/01/10 ...................... 19,200 195,000 Ono Finance Plc, Company Guarantee 13.000% due 05/01/09 ...................... 150,150 230,000 Pemex Project 9.125% due 10/13/10 ....................... 243,512 265,000 Williams Scotsman, Inc., Company Guarantee 9.875% due 06/01/07 ....................... 251,750 125,000 Willis Corroon Corporation, Company Guarantee 9.000% due 02/01/09 ....................... 127,187 ------------ 947,632 ------------ FOOD -- 1.2% 185,000 Fleming Companies, Inc. 10.125% due 04/01/08++ .................... 189,625 140,000 Michael Foods 11.750% due 04/01/11++ .................... 143,500 ------------ 333,125 ------------ PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ HOTEL AND GAMING -- 9.3% $ 60,000 Ameristar Casinos, Inc. Senior Subordinate Notes 10.750% due 02/15/09 ...................... $ 62,700 160,000 Argosy Gaming Company Guarantee 10.750% due 06/01/09 ...................... 172,000 65,000 Autotote Corporation, Series B 12.500% due 08/15/10 ...................... 64,675 175,000 Aztar Corporation, Senior Subordinate Notes 8.875% due 05/15/07 ....................... 177,187 40,000 Boyd Gaming Corporation, Senior Subordinate Notes 9.500% due 07/15/07 ....................... 38,800 260,000 Coast Hotels & Casino, Company Guarantee 9.500% due 04/01/09++ ..................... 266,500 15,000 Eldorado Resorts LLC, Senior Subordinate Notes 10.500% due 08/15/06 ...................... 15,300 80,000 Felcor Lodging LP 8.500% due 06/01/11++ ..................... 76,400 185,000 HMH Properties, Inc., Senior Notes 8.450% due 12/01/08 ....................... 179,450 130,000 Hollywood Park, Inc., Company Guarantee 9.250% due 02/15/07 ....................... 119,600 110,000 Horseshoe Gaming Holdings, Company Guarantee 8.625% due 05/15/09 ....................... 111,100 155,000 Isle of Capri Casinos, Company Guarantee 8.750% due 04/15/09 ....................... 141,631 195,000 Mandalay Resort Group, Senior Notes 9.500% due 08/01/08 ....................... 202,800 180,000 MGM Grand, Inc. 9.750% due 06/01/07 ....................... 191,700 115,000 MGM Mirage 8.375% due 02/01/11 ....................... 115,287 285,000 Park Place Entertainment, Senior Subordinate Notes 8.875% due 09/15/08 ....................... 293,550 130,000 Prime Hospitality Corporation, Senior Subordinate Notes 9.750% due 04/01/07 ....................... 132,925 Station Casinos, Inc., Senior Subordinate Notes 135,000 8.875% due 12/01/08 ....................... 135,675 165,000 9.875% due 07/01/10 ....................... 172,012 ------------ 2,669,292 ------------ INDUSTRIAL -- 6.1% 140,000 American Standard Companies, Inc., Company Guarantee 7.375% due 02/01/08 ....................... 138,250 45,000 American Standard, Inc. 7.625% due 02/15/10 ....................... 44,437 65,000 Applied Extrusion Technologies 10.750% due 07/01/11++ .................... 65,812 125,000 Blount, Inc. 13.000% due 08/01/09 ...................... 75,000 75,000 Completel Europe NV, Company Guarantee 14.000% due 02/15/09 ...................... 23,250 See Notes to Financial Statements. 27 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) INDUSTRIAL -- (CONTINUED) $ 110,000 D.R. Horton, Inc., Senior Subordinate Notes 9.750% due 09/15/10 ....................... $ 113,300 125,000 Dresser, Inc. 9.375% due 04/15/11++ ..................... 126,562 130,000 Fibermark, Inc. 10.750% due 04/15/11++ .................... 130,650 75,000 International Knife & Saw, Inc., Senior Subordinate Notes 11.375% due 11/15/06+++ ................... 7,313 160,000 Jorgensen (Earle M.) Company, Senior Notes 9.500% due 04/01/05 ....................... 140,000 215,000 K & F Industries, Senior Subordinate Notes 9.250% due 10/15/07 ....................... 220,913 60,000 Lennar Corporation 9.950% due 05/01/10 ....................... 65,700 70,000 Metal Management, Inc., Company Guarantee 10.000% due 05/15/08+++ ................... 2,100 95,250 NRG South Central LLC 8.962% due 03/15/16 ....................... 101,467 80,000 Numatics, Inc., Company Guarantee 9.625% due 04/01/08 ....................... 50,400 70,000 P&L Coal Holdings Corporation 8.875% due 05/15/08 ....................... 73,500 85,000 Simonds Industries, Company Guarantee 10.250% due 07/01/08 ...................... 55,250 Spectrasite Holdings, Inc., Senior Discount Notes 55,000 12.000% due 07/15/08^ ..................... 29,563 225,000 11.125% due 04/15/09^ ..................... 103,500 82,500 Synthetic Industries, Inc. 17.000% due 06/14/08 ...................... 45,375 50,000 Thermadyne Holdings Corporation, Company Guarantee 9.875% due 06/01/08 ....................... 19,063 85,000 Thermadyne Holdings Corporation, Debentures 12.500% due 06/01/08^ ..................... 1,275 75,000 US Timberlands, Senior Notes 9.625% due 11/15/07 ....................... 60,000 70,000 Venture Holdings Trust, Senior Notes 9.500% due 07/01/05 ....................... 54,600 ------------ 1,747,280 ------------ INTERNET SOFTWARE -- 0.5% 135,000 Kappa Beheer BV 10.625% due 07/15/09 ...................... 143,775 ------------ MACHINERY AND MATERIAL HANDLING -- 2.0% 170,000 Agco Corporation 9.500% due 05/01/08++ ..................... 164,050 Buckeye Technologies, Inc., Senior Subordinate Notes 35,000 8.500% due 12/15/05 ....................... 34,738 100,000 8.000% due 10/15/10 ....................... 94,500 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ MACHINERY AND MATERIAL HANDLING -- (CONTINUED) $ 85,000 Columbus McKinnon Corporation, Company Guarantee 8.500% due 04/01/08 ....................... $ 73,950 65,000 Manitowoc Company, Inc. 10.375% due 05/15/11++ .................... 56,127 35,000 Motors and Gears, Inc., Senior Notes 10.750% due 11/15/06 ...................... 34,913 125,000 Terex Corporation 10.375% due 04/01/11++ .................... 128,750 ------------ 587,028 ------------ MEDIA - CABLE TELEVISION -- 2.4% 220,000 Callahan Nordrhein-West, Senior Notes 14.000% due 07/15/10++ .................... 178,200 150,000 Ekabel Hessen, Senior Notes 14.500% due 09/01/10++ .................... 112,500 150,000 Mediacom Broadband LLC 11.000% due 07/15/13++ .................... 152,625 95,000 Mediacom LLC/Cap Corporation 9.500% due 01/15/13++ ..................... 89,775 50,000 Ono Finance Plc Units 14.000% due 02/15/11 ...................... 42,500 200,000 United Pan Europ Comm NV, Senior Notes 10.875% due 08/01/09 ...................... 70,500 80,000 United Pan Europ Comm, Series B 11.250% due 02/01/10 ...................... 28,800 65,000 United Pan Europ Step Coupon, Series B 0.000% due 02/01/10 ....................... 14,300 ------------ 689,200 ------------ MEDICAL SERVICES AND SUPPLIES -- 5.5% 100,000 Alaris Medical Systems, Inc. 9.750% due 12/01/06 ....................... 74,000 85,000 Alliance Imaging 10.375% due 04/15/11++ .................... 87,125 300,000 Beverly Enterprises, Inc. 9.625% due 04/15/09++ ..................... 307,500 280,000 Fresenius Med Cap Trust 7.875% due 02/01/08 ....................... 273,000 250,000 HCA-The Healthcare Company 7.875% due 02/01/11 ....................... 252,188 100,000 Prime Medical Services, Inc., Company Guarantee 8.750% due 04/01/08 ....................... 87,000 200,000 Tenet Healthcare Corporation, Senior Notes 8.000% due 01/15/05 ....................... 205,250 285,000 Triad Hospitals, Inc. 8.750% due 05/01/09++ ..................... 289,988 ------------ 1,576,051 ------------ OIL AND GAS -- 5.0% 165,000 Belden and Blake Corporation 9.875% due 06/15/05 ....................... 134,475 240,000 Chesapeake Energy Corporation 8.125% due 04/01/11++ ..................... 224,400 See Notes to Financial Statements. 28 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) OIL AND GAS -- (CONTINUED) $ 25,000 Clark R&M, Inc., Senior Notes 8.625% due 08/15/08 ....................... $ 21,250 45,000 Forest Oil Corporation, Company Guarantee 10.500% due 01/15/06 ...................... 47,700 65,000 Grant Prideco, Inc. 9.625% due 12/01/07++ ..................... 67,113 125,000 Gulfmark Offshore, Inc. 8.750% due 06/01/08 ....................... 121,875 65,000 HS Resources, Inc., Company Guarantee 9.250% due 11/15/06 ....................... 68,413 170,000 HS Resources, Inc., Senior Subordinate Notes 9.250% due 11/15/06 ....................... 178,075 85,000 Mission Resources Corporation 10.875% due 04/01/07++ .................... 83,513 35,000 Ocean Rig Norway AS 10.250% due 06/01/08 ...................... 31,588 161,000 P&L Coal Holdings Corporation, Series B, Company Guarantee 9.625% due 05/15/08 ....................... 169,855 55,000 Pioneer Natural Resources 9.625% due 04/01/10 ....................... 61,325 100,000 R&B Falcon Corporation 9.500% due 12/15/08 ....................... 114,967 95,000 Sesi LLC 8.875% due 05/15/11++ ..................... 95,238 25,000 Triton Energy, Ltd. 8.875% due 10/01/07++ ..................... 25,625 ------------ 1,445,412 ------------ PAPER PRODUCTS -- 0.5% 50,000 Buckeye Cellulose 9.250% due 09/15/08 ....................... 50,125 110,000 Quebecor Media, Inc. 11.125% due 07/15/11++ .................... 107,573 ------------ 157,698 ------------ RETAIL -- 2.9% 80,000 Duane Reade, Inc., Company Guarantee 9.250% due 02/15/08 ....................... 76,800 75,000 Finlay Enterprises, Inc., Company Guarantee 9.000% due 05/01/08 ....................... 68,625 57,000 Finlay Fine Jewelry Corporation 8.375% due 05/01/08 ....................... 53,010 165,000 J Crew Operating Corporation, Senior Subordinate Notes 10.375% due 10/15/07 ...................... 148,088 Jitney-Jungle Stores of America, Inc., Company Guarantee 65,000 12.000% due 03/01/06+++ ................... 325 10,000 10.375% due 09/15/07+++ ................... 50 120,000 K-Mart Corporation 9.375% due 02/01/06 ....................... 117,000 220,000 Samsonite Corporation, Senior Subordinate Notes 10.750% due 06/15/08 ...................... 183,700 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ RETAIL -- (CONTINUED) $ 200,000 Southland Corporation, Senior Subordinate Debentures 5.000% due 12/15/01 ....................... $ 187,226 ------------ 834,824 ------------ STEEL -- 2.0% 55,000 AK Steel Corporation, Senior Notes 9.125% due 12/15/06 ....................... 56,169 250,000 Century Aluminum Company 11.750% due 04/15/08++ .................... 260,000 85,000 Commonwealth Aluminum, Senior Subordinate Notes 10.750% due 10/01/06 ...................... 76,925 80,000 Kaiser Aluminum & Chemical Corporation, Senior Notes 9.875% due 02/15/02 ....................... 79,200 55,000 Russell Metals, Inc., Units 10.000% due 06/01/09 ...................... 54,725 50,000 WCI Steel, Inc., Senior Notes 10.000% due 12/01/04 ...................... 34,750 ------------ 561,769 ------------ TELEPHONE AND COMMUNICATIONS -- 15.3% 225,000 Alamosa Pcs Hldgs Step Coupon 12.875% due 02/15/10 ...................... 103,500 Allegiance Telecom, Inc., Senior Discount Notes 170,000 12.875% due 02/15/08 ...................... 96,900 40,000 12.875% due 05/15/08 ...................... 35,200 175,000 American Cellular Corporation 9.500% due 10/15/09++ ..................... 164,500 115,000 American Tower Corporation 9.375% due 02/01/09++ ..................... 107,525 145,000 AT&T Wireless Group 7.875% due 03/01/11++ ..................... 145,293 175,000 Centennial Cellular, Senior Subordinate Notes 10.750% due 12/15/08 ...................... 161,875 200,000 Citizens Communications 9.250% due 05/15/11 ....................... 207,917 300,000 Colt Telecom Group Plc, Senior Discount Notes 12.000% due 12/15/06 ...................... 270,000 210,000 Crown Castle International Corporation, Senior Notes 10.750% due 08/01/11 ...................... 199,500 65,000 Dobson Communications Corporation, Senior Discount Notes 10.875% due 07/01/10 ...................... 65,000 Dolphin Telecom Plc, Senior Discount Notes 125,000 14.000% due 06/01/08^ ..................... 3,750 10,000 11.500% due 05/15/09^ ..................... 200 160,000 Echostar Broadband Corporation 10.375% due 10/01/07 ...................... 157,600 95,000 Energis Plc 9.750% due 06/15/09 ....................... 82,650 15,000 Esprit Telecom Group Plc, Senior Notes 10.875% due 06/15/08+++ ................... 375 See Notes to Financial Statements. 29 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CORPORATE FIXED INCOME SECURITIES -- (CONTINUED) TELEPHONE AND COMMUNICATIONS -- (CONTINUED) Focal Communications Corporation Series B, Senior Notes $ 55,000 12.125% due 02/15/08++,^ .................. $ 12,100 80,000 11.875% due 01/15/10++,^ .................. 25,700 115,000 Global Crossing Holding, Ltd., Senior Notes 8.700% due 08/01/07++ ..................... 87,400 95,000 Global Crossing Holdings, Ltd., Company Guarantee 9.625% due 05/15/08^,+++ .................. 75,050 200,000 GT Group Telecom Step Coupon 13.250% due 02/01/10 ...................... 63,000 55,000 Hermes Europe Railtel BV, Senior Notes 10.375% due 01/15/09 ...................... 8,731 140,000 Hyperion Telecommunications, Senior Subordinate Notes 12.000% due 11/01/07++ .................... 70,000 150,000 ICG Holdings, Inc., Company Guarantee 12.500% due 05/01/06^,+++ ................. 22,500 175,000 Insight Midwest L.P. / Insight Capital, Inc. 9.750% due 10/01/09 ....................... 181,125 ITC Deltacom, Inc., Senior Notes 50,000 11.000% due 06/01/07 ...................... 34,500 75,000 9.750% due 11/15/08 ....................... 51,750 125,000 Jazztel Plc, Senior Notes 14.000% due 04/01/09 ...................... 46,250 50,000 L-3 Communications Corporation Series B 8.000% due 08/01/08 ....................... 49,875 L-3 Communications, Inc., Senior Subordinate Notes 105,000 10.375% due 05/01/07 ...................... 110,381 165,000 9.125% due 05/01/08 ....................... 68,475 85,000 Mcleod, Inc. 8.125% due 02/15/09 ....................... 45,050 170,000 Metromedia Fiber Network, Senior Notes 10.000% due 11/15/08 ...................... 65,450 35,000 Metronet Communications, Inc., Senior Discount Note 9.950% due 06/15/08^ ...................... 29,566 115,000 Millicom International Cellular, Inc., Senior Discount Notes 13.500% due 06/01/06^ ..................... 101,200 85,000 MJD Communications, Inc., Senior Subordinate Notes 9.500% due 05/01/08 ....................... 68,000 140,000 Nextel Communications 9.500% due 02/01/11 ....................... 106,400 100,000 Nextel International, Inc. 12.750% due 08/01/10 ...................... 29,000 400,000 Nextel International, Inc., Senior Notes 9.950% due 02/15/08 ....................... 250,000 PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ TELEPHONE AND COMMUNICATIONS -- (CONTINUED) $ 245,000 Nextlink Communications, Senior Notes 10.750% due 06/01/09 ...................... $ 78,400 10,000 Northeast Optic Network, Senior Notes 12.750% due 08/15/08 ...................... 2,800 NTL, Inc., Senior Notes 200,000 9.750% due 04/01/08 ....................... 87,000 330,000 12.375% due 10/01/08 ...................... 138,600 45,000 PTC International Finance II SA 11.250% due 12/01/09 ...................... 44,550 105,000 Rural Cellular Corporation, Senior Notes 9.625% due 05/15/08 ....................... 101,850 35,000 Spectrasite Holdings, Inc. 10.750% due 03/15/10 ...................... 29,400 165,000 Tele1 Europe B.V., Senior Notes 13.000% due 05/15/09 ...................... 90,750 75,000 Telecorp Pcs, Inc. 10.625% due 07/15/10 ...................... 69,750 Telewest Communication Plc 40,000 9.625% due 10/01/06^ ...................... 33,400 45,000 11.000% due 10/01/07^ ..................... 37,913 125,000 9.250% due 04/15/09^ ...................... 61,250 30,000 Triton PCS, Inc., Company Guarantee 11.000% due 05/01/08^ ..................... 24,188 175,000 Versatel Telecom BV, Senior Notes 13.250% due 05/15/08+ ..................... 66,500 20,000 Viatel, Inc., Senior Discount Notes 12.500% due 04/15/08^ ..................... 400 75,000 Voicestream Wire Company 10.375% due 11/15/09 ...................... 85,091 30,000 Western Wireless, Inc., Senior Subordinate Notes 10.500% due 02/01/07 ...................... 30,900 10,000 Williams Commerce Group, Inc. 11.700% due 08/01/08++ .................... 4,100 90,000 Worldwide Fiber, Inc. 12.000% due 08/01/09 ...................... 1,125 ------------ 4,391,255 ------------ TEXTILES AND HOME FURNISHINGS -- 0.8% 155,000 Simmons Company, Senior Subordinate Notes 10.250% due 03/15/09 ...................... 151,125 Westpoint Stevens, Inc. 120,000 7.875% due 06/15/05 ....................... 46,800 125,000 7.875% due 06/15/08 ....................... 46,250 ------------ 244,175 ------------ Total Corporate Fixed Income Securities (Cost $28,604,352) ........................ 25,424,325 ------------ See Notes to Financial Statements. 30 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 0.1% 3,750 Completel Europe NV+ ........................ $ 9,375 855 Pathmark Stores, Inc.+ ...................... 19,639 982 Versatel Telecom International NV, ADR+ ...................................... 2,720 7 Viatel, Inc.+ ............................... -- ------------ Total Common Stock (Cost $37,175) ............................ 31,734 ------------ PRINCIPAL AMOUNT - ----------- PREFERRED STOCK -- 1.3% $ 68,430 Crown Castle International Corporation ............................... 58,166 181,203 CSC Holdings, Inc., Series M ................ 193,435 50,000 Global Crossing Holdings, Ltd. .............. 28,750 1,400 Primedia, Inc., Series H .................... 106,400 ------------ Total Preferred Stock (Cost $423,791) ........................... 386,751 ------------ SHARES - ----------- WARRANTS -- 0.1% 200 GT Group Telecom Expires 02/01/10+ ......................... 5,969 145 Jazztel Plc, Expires 04/01/2009+ ....................... 2,973 170 Ono Finance Plc, 05/31/2009+ ............................... 5,950 605 Pathmark Stores, Inc. Expires Expires 09/19/10+ ......................... 4,901 40 Pliant Corporation Expires 06/01/10+ ......................... 4 65 Xm Satellite Radio Expires 03/15/10+ ......................... 1,617 ------------ Total Warrants (Cost $43,638) ............................ 21,414 ------------ PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ SHORT TERM OBLIGATIONS -- 8.7% $ 2,493,000 Federal Home Loan Bank 3.940% due 07/02/01 ....................... $ 2,493,000 ------------ Total Short Term Obligations (Cost $2,493,000) ......................... 2,493,000 ------------ TOTAL INVESTMENTS (COST $31,601,956*)............................ 98.6% 28,357,224 OTHER ASSETS AND LIABILITIES (NET).......................................... 1.4% 402,148 ------ ------------ NET ASSETS........................................ 100.0% $ 28,759,372 ====== ============ - ---------------- * Aggregate cost for federal tax purposes. + Non-Income Producing Security. ++ Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. +++ Security in default as of June 30, 2001. ^ Zero coupon security as of June 30, 2001. The coupon shown is the step-up rate. See Notes to Financial Statements. 31 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR JANUS GROWTH PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 95.6% COMPUTER SERVICES AND SOFTWARE -- 15.5% 29,505 BEA Systems, Inc.+ .......................... $ 906,099 153,075 Brocade Communications Systems, Inc.+ ............................ 6,733,769 1,158,795 Cisco Systems, Inc.+ ........................ 21,090,069 501,765 EMC Corporation+ ............................ 14,576,273 174,556 Microsoft Corporation+ ...................... 12,742,588 132,425 Network Appliance, Inc.+ .................... 1,814,222 436,105 VERITAS Software Corporation+ . ............. 29,014,066 ------------ 86,877,086 ------------ DIVERSIFIED OPERATIONS -- 9.1% 141,340 Disney (Walt) Company ....................... 4,083,313 957,750 General Electric Company .................... 46,690,312 ------------ 50,773,625 ------------ DRUGS AND MEDICAL PRODUCTS -- 7.3% 72,505 Andrx Group+ ................................ 5,582,885 207,110 Genentech, Inc.+ ............................ 11,411,761 210,760 Guidant Corporation+ ........................ 7,587,360 51,485 Biogen, Inc. ................................ 2,798,725 301,235 Medtronic, Inc. ............................. 13,859,822 ------------ 41,240,553 ------------ ELECTRONICS -- 8.1% 489,455 ASML Holding NV+ ............................ 10,890,374 63,095 JDS Uniphase Corporation+ ................... 804,461 234,698 Maxim Integrated Products, Inc.+ ............ 10,375,999 125,560 Teradyne, Inc.+ ............................. 4,156,036 465,857 Xilinx, Inc.+ ............................... 19,211,943 ------------ 45,438,813 ------------ FINANCIAL -- 2.1% 131,600 Merrill Lynch & Company, Inc. ............... 7,797,300 255,340 Schwab (Charles) Corporation ................ 3,906,702 ------------ 11,704,002 ------------ HOUSEHOLD PRODUCTS / WARE -- 0.8% 72,960 Colgate-Palmolive Company ................... 4,303,910 ------------ INSURANCE -- 0.8% 51,825 American International Group, Inc. .......... 4,456,950 ------------ INTERNET SERVICES -- 4.4% 364,461 eBay, Inc.+ ................................. 24,961,934 ------------ MEDIA AND COMMUNICATIONS -- 20.8% 1,283,333 AOL Time Warner, Inc.+ ...................... 68,016,649 858,613 AT&T Corporation - Liberty Media Corporation, Class A+ . ............... 15,017,141 114,925 Clear Channel Communications, Inc.+ ....................................... 7,205,797 512,710 Viacom, Inc., Class B+ ...................... 26,532,743 ------------ 116,772,330 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ RETAIL -- 10.8% 408,962 Costco Wholesale Corporation+ . ............. $ 16,800,159 425,425 Gap, Inc. ................................... 12,337,325 391,667 Home Depot, Inc. ............................ 18,232,099 371,565 Tiffany & Company ........................... 13,458,084 ------------ 60,827,667 ------------ TELECOMMUNICATIONS -- 13.4% 331,496 Comcast Corporation, Class A+ . ............. 14,386,926 401,605 EchoStar Communications Corporation, Class A+ ..................... 13,020,034 994,581 Nokia Corporation, Sponsored ADR ............................. 21,920,565 754 NTT DoCoMo, Inc. ............................ 13,119,291 577,970 Vodafone Group Plc, Sponsored ADR ............................. 12,917,630 ------------ 75,364,446 ------------ UTILITY - ELECTRIC -- 2.5% 319,380 AES Corporation+ ............................ 13,749,310 ------------ Total Common Stock (Cost $590,099,380) ....................... 536,470,626 ------------ SHORT TERM OBLIGATIONS -- 4.9% 20,000,000 CIT Group Holdings 4.140% due 07/02/01 ....................... 20,000,000 7,600,000 Prudential Funding Corporation 4.080% due 07/02/01 ....................... 7,600,000 ------------ Total Short Term Obligations (Cost $27,600,000) ........................ 27,600,000 ------------ TOTAL INVESTMENTS (COST $617,699,380*)........................... 100.5% 564,070,626 OTHER ASSETS AND LIABILITIES (NET)......................................... (0.5)% (2,929,535) ------ ------------ NET ASSETS........................................ 100.0% $561,141,091 ====== ============ - ---------------- * Aggregate cost for federal tax purposes. + Non-Income Producing Security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 32 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST ENDEAVOR MONEY MARKET PORTFOLIO JUNE 30, 2001 (UNAUDITED) PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ COMMERCIAL PAPER -- 49.5% $10,000,000 American Express Credit Corporation 3.903% due 07/13/01 ....................... $ 9,987,878 9,500,000 American General Corporation 3.876% due 07/20/01 ....................... 9,479,823 5,500,000 Bank of America 4.110% due 09/24/01 ....................... 5,447,255 10,000,000 Bank of Nova Scotia 3.640% due 08/17/01 ....................... 9,953,489 9,500,000 CIT Group Holdings 4.670% due 07/20/01 ....................... 9,479,235 12,684,000 Citicorp 4.100% due 07/02/01 ....................... 12,684,000 9,500,000 Ford Motor Credit Corporation 3.841% due 08/03/01 ....................... 9,467,009 10,000,000 Goldman Sachs 3.767% due 10/12/01 ....................... 9,894,600 8,500,000 General Electric Capital Corporation 4.840% due 07/02/01 ....................... 8,500,000 11,000,000 Household Finance Company 3.570% due 09/18/01 ....................... 10,914,915 11,000,000 IBM Credit Corporation 3.680% due 07/11/01 ....................... 10,989,880 7,000,000 Metlife Funding Company 9.930% due 08/17/01 ....................... 6,965,474 8,500,000 Prudential Funding Corporation 3.942% due 07/03/01 ....................... 8,499,072 8,500,000 UBS Finance 3.910% due 07/27/01 ....................... 8,477,215 ------------ Total Commercial Paper (Cost $130,739,845) ....................... 130,739,845 ------------ U.S. GOVERNMENT AGENCY SECURITIES -- 49.2% Fannie Mae 6,310,000 4.000% due 10/12/01 ....................... 6,238,487 15,000,000 3.720% due 11/29/01 ....................... 14,765,000 10,000,000 4.030% due 12/28/01 ....................... 10,000,000 5,000,000 5.350% due 01/18/02 ....................... 5,000,000 9,795,000 3.700% due 03/08/02 ....................... 9,534,070 7,000,000 4.580% due 07/09/01 ....................... 6,993,766 6,841,000 4.480% due 08/06/01 ....................... 6,811,204 8,000,000 3.850% due 08/09/01 ....................... 7,967,489 Federal Farm Credit 7,735,000 3.730% due 07/10/01 ....................... 7,727,299 Federal Home Loan Bank 5,000,000 4.420% due 05/15/02 ....................... 5,000,000 6,000,000 4.130% due 07/13/01 ....................... 5,992,428 6,000,000 4.000% due 08/03/01 ....................... 5,978,667 Freddie Mac 7,000,000 4.600% due 07/06/01 ....................... 6,996,422 10,000,000 3.817% due 08/09/01 ....................... 9,960,522 6,000,000 4.530% due 09/13/01 ....................... 5,944,885 15,000,000 3.530% due 09/20/01 ....................... 14,882,089 Total U.S. Government Agency Securities (Cost $129,792,328) ....................... 129,792,328 ------------ PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ------------ CERTIFICATES OF DEPOSIT (YANKEE) -- 1.5% $ 4,000,000 BNP Paribas New York 4.750% due 07/16/01 ....................... $ 4,000,000 ------------ Total Certificates of Deposit (Yankee) (Cost $4,000,000) ................ 4,000,000 ------------ TOTAL INVESTMENTS (COST $264,532,173*)........................... 100.2% 264,532,173 OTHER ASSETS AND LIABILITIES (NET).......................................... (0.2)% (613,382) ------ ------------ NET ASSETS........................................ 100.0% $263,918,791 ====== ============ - -------------- * Aggregate cost for federal tax purposes. See Notes to Financial Statements. 33 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST JENNISON GROWTH PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 97.5% ADVERTISING AGENCY -- 1.3% 5,000 Omnicom Group, Inc. ......................... $ 430,000 ------------ AEROSPACE AND DEFENSE -- 0.6% 2,500 Northrop Grumman Corporation ................ 200,250 ------------ BEVERAGES -- 2.4% 17,700 PepsiCo, Inc. ............................... 782,340 ------------ BROADCAST, RADIO & TV -- 3.8% 43,400 AT&T Corporation - Liberty Media Corporation, Class A+ . ............. 759,066 10,600 Univision Communications, Inc., Class A+ .................................. 453,468 ------------ 1,212,534 ------------ COMPUTER SERVICES AND SOFTWARE -- 16.4% 12,500 ASM Lithography Holding N.V.+ . ............. 278,125 27,400 Cisco Systems, Inc.+ ........................ 498,680 20,800 Dell Computer Corporation+ .................. 539,760 2,800 eBay, Inc.+ ................................. 191,772 9,900 EMC Corporation+ ............................ 287,595 16,600 Intel Corporation ........................... 485,550 6,600 International Business Machines Corporation ............................... 745,800 19,000 Microsoft Corporation+ ...................... 1,387,000 15,200 Oracle Corporation+ ......................... 288,800 25,100 Sun Microsystems, Inc.+ ..................... 394,572 3,500 Veritas Software Corporation+ . ............. 232,855 ------------ 5,330,509 ------------ DRUGS AND MEDICAL PRODUCTS -- 11.3% 11,300 Abbott Laboratories ......................... 542,513 16,700 American Home Products Corporation ............................... 975,948 5,000 Baxter International, Inc. .................. 245,000 7,600 Johnson & Johnson ........................... 380,000 17,100 Pfizer, Inc. ................................ 684,855 13,000 Pharmacia Corporation ....................... 597,350 5,800 Sepracor, Inc.+ ............................. 230,840 ------------ 3,656,506 ------------ ELECTRONICS - SEMICONDUCTOR -- 1.9% 3,300 Applied Materials, Inc.+ .................... 162,030 2,900 KLA-Tencor Corporation+ ..................... 169,563 3,200 Novellus Systems, Inc.+ ..................... 181,728 5,700 Solectron Corporation+ ...................... 104,310 ------------ 617,631 ------------ FINANCIAL SERVICES -- 13.7% 13,800 American Express Company .................... 535,440 10,300 Bank One Corporation ........................ 368,740 27,033 Citigroup, Inc. ............................. 1,428,424 4,200 Goldman Sachs Group, Inc. ................... 360,360 VALUE SHARES (NOTE 1) - ----------- ------------ FINANCIAL SERVICES -- (CONTINUED) 6,300 Household International, Inc. ............... $ 420,210 5,200 JP Morgan Chase & Company ................... 231,920 10,500 Merrill Lynch & Company, Inc. ............... 622,125 7,200 Morgan Stanley Dean Witter & Company ................................. 462,456 ------------ 4,429,675 ------------ HOTELS & OTHER LODGING PLACES -- 1.5% 4,900 Marriott International, Inc., Class A ................................... 231,966 7,200 Starwood Hotels and Resorts Worldwide, Inc. ........................... 268,416 ------------ 500,382 ------------ INSURANCE -- 3.8% 10,200 American International Group, Inc. .......... 877,200 5,200 Hartford Financial Services Group, Inc. ............................... 355,680 ------------ 1,232,880 ------------ LEISURE, SPORTING & RECREATION -- 1.1% 7,300 Harley-Davidson, Inc. ....................... 343,684 ------------ MANUFACTURING AND MINING -- 1.1% 3,000 Minnesota Mining & Manufacturing Company ..................... 342,300 ------------ MANUFACTURING INDUSTRIES -- 0.9% 5,600 Tyco International, Ltd. .................... 305,200 ------------ MEDICAL-BIOMEDICAL / GENE -- 4.2% 13,900 Amgen, Inc.+ ................................ 843,452 9,600 Genentech, Inc.+ ............................ 528,960 ------------ 1,372,412 ------------ MULTIMEDIA -- 3.3% 13,800 AOL Time Warner, Inc.+ ...................... 731,400 3,600 McGraw-Hill Companies, Inc. ................. 238,140 6,500 Pearson Plc-Sponsored ADR ................... 110,695 ------------ 1,080,235 ------------ OIL AND GAS EXTRACTION -- 4.3% 18,700 Halliburton Company ......................... 665,720 13,700 Schlumberger, Ltd. .......................... 721,305 ------------ 1,387,025 ------------ PRINTING PUBLISHING & ALLIED -- 4.0% 1,700 Knight-Ridder, Inc. ......................... 100,810 3,600 New York Times Company, Class A ................................... 151,200 900 Tribune Company ............................. 36,009 19,500 Viacom, Inc., Class B+ ...................... 1,009,125 ------------ 1,297,144 ------------ See Notes to Financial Statements. 34 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST JENNISON GROWTH PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) RETAIL -- 11.0% 1,200 BJ's Wholesale Club, Inc.+ .................. $ 63,912 25,100 Home Depot, Inc. ............................ 1,168,405 14,600 Kohl's Corporation+ ......................... 915,858 12,700 Target Corporation .......................... 439,420 14,000 Tiffany & Company ........................... 507,080 9,800 Wal-Mart Stores, Inc. ....................... 478,240 ------------ 3,572,915 ------------ TECHNOLOGY -- 6.4% 27,200 General Electric Company .................... 1,326,000 23,300 Texas Instruments, Inc. ..................... 733,950 ------------ 2,059,950 ------------ TELECOMMUNICATIONS -- 3.3% 28,500 Nokia Corporation, Sponsored ADR ............................. 628,140 20,200 Vodafone Group Plc .......................... 451,470 ------------ 1,079,610 ------------ TELEPHONE -- 1.2% 4,700 NTL, Inc.+ .................................. 56,635 10,300 Qwest Communications International, Inc.+ ...................... 328,261 ------------ 384,896 ------------ Total Common Stock (Cost $33,139,196) ........................ 31,618,078 ------------ MUTUAL FUNDS - OPEN END -- 4.1% 1,342,826 Dreyfus Cash Management Fund 4.030% due 07/02/01 ....................... 1,342,826 ------------ Total Mutual Funds - Open End (Cost $1,342,826) ......................... 1,342,826 ------------ TOTAL INVESTMENTS (COST $34,482,022*)............................ 101.6% 32,960,904 OTHER ASSETS AND LIABILITIES (NET).......................................... (1.6)% (534,928) ------ ------------ NET ASSETS........................................ 100.0% $ 32,425,976 ====== ============ - ---------------- * Aggregate cost for federal tax purposes. + Non-Income Producing Security. Abbreviations: ADR -- American Depositary Receipt See Notes to Financial Statements. 35 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 95.1% AEROSPACE AND DEFENSE -- 2.0% 127,400 Lockheed Martin Corporation ................. $ 4,720,170 12,900 TRW, Inc. ................................... 528,900 ------------ 5,249,070 ------------ AUTOMOTIVES -- 1.6% 16,800 Dana Corporation ............................ 392,112 62,100 Ford Motor Company .......................... 1,524,555 78,850 Genuine Parts Company ....................... 2,483,775 ------------ 4,400,442 ------------ BANKING AND FINANCE -- 7.1% 41,100 Bank of America Corporation ................. 2,467,233 94,482 Bank One Corporation ........................ 3,382,456 71,297 Citigroup, Inc. ............................. 3,767,334 72,730 J.P. Morgan Chase & Company ................. 3,243,758 45,800 Mercantile Bankshares Corporation ........... 1,792,154 54,600 National City Corporation ................... 1,680,588 34,100 U.S. Bancorp ................................ 777,139 44,530 Wells Fargo & Company ....................... 2,067,528 ------------ 19,178,190 ------------ BUILDING AND CONSTRUCTION -- 0.0%** 24,000 Armstrong Holdings, Inc. .................... 85,200 ------------ COMMUNICATIONS -- 0.7% 112,100 Motorola, Inc. .............................. 1,856,376 ------------ COMPUTER SERVICES AND SOFTWARE -- 0.4% 65,400 Compaq Computer Corporation ................. 1,013,046 ------------ CONSUMER PRODUCTS -- 4.7% 19,600 Newell Rubbermaid, Inc. ..................... 491,960 107,400 Pall Corporation ............................ 2,527,122 45,600 Philip Morris Companies, Inc. ............... 2,314,200 39,400 Procter & Gamble Company .................... 2,513,720 49,800 Stanley Works ............................... 2,085,126 95,700 UST, Inc. ................................... 2,761,902 ------------ 12,694,030 ------------ COSMETICS AND TOILETRIES -- 2.4% 93,000 Gillette Company ............................ 2,696,070 87,200 International Flavors & Fragrances, Inc. .......................... 2,191,336 28,900 Kimberly-Clark Corporation .................. 1,615,510 ------------ 6,502,916 ------------ DIVERSIFIED -- 4.9% 94,200 Disney (Walt) Company ....................... 2,721,438 22,600 Eaton Corporation ........................... 1,584,260 68,200 Fortune Brands, Inc. ........................ 2,616,152 136,100 Hasbro, Inc. ................................ 1,966,645 104,700 Honeywell International, Inc. ............... 3,663,453 71,700 Xerox Corporation ........................... 686,169 ------------ 13,238,117 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ DIVERSIFIED CHEMICALS -- 2.0% 55,700 Dow Chemical Company ........................ $ 1,852,025 76,500 du Pont (E.I.) de Nemours & Company ................................. 3,690,360 ------------ 5,542,385 ------------ DRUGS -- 1.2% 45,800 Bristol-Myers Squibb Company ................ 2,395,340 17,572 Pharmacia Corporation ....................... 807,433 ------------ 3,202,773 ------------ ELECTRICAL EQUIPMENT -- 1.8% 26,007 Cooper Industries, Inc. ..................... 1,029,617 67,800 Hewlett-Packard Company ..................... 1,939,080 67,300 Hubbell, Inc., Class B ...................... 1,951,700 ------------ 4,920,397 ------------ ELECTRONICS - SEMICONDUCTOR -- 0.5% 165,800 Agere Systems, Inc., Class A+ . ............. 1,243,500 7,301 Axcelis Technologies, Inc.+ ................. 108,055 ------------ 1,351,555 ------------ ENERGY SERVICES -- 1.8% 33,400 Duke Energy Corporation ..................... 1,302,934 39,962 Exelon Corporation+ ......................... 2,562,363 57,900 Niagara Mohawk Holdings, Inc.+ .............. 1,024,251 ------------ 4,889,548 ------------ FINANCIAL SERVICES -- 5.7% 88,400 American General Corporation ................ 4,106,180 30,000 Block (H&R), Inc. ........................... 1,936,500 45,000 Fannie Mae .................................. 3,831,750 107,958 FleetBoston Financial Corporation ........... 4,258,943 27,274 St. Paul Companies, Inc. .................... 1,382,519 ------------ 15,515,892 ------------ FOOD AND BEVERAGES -- 5.6% 18,600 Albertson's, Inc. ........................... 557,814 39,800 Brown-Forman Corporation, Class B ........... 2,544,812 65,700 Campbell Soup Company ....................... 1,691,775 59,400 General Mills, Inc. ......................... 2,600,532 45,800 Heinz (H.J.) Company ........................ 1,872,762 52,100 Hershey Foods Corporation ................... 3,215,091 31,700 Kellogg Company ............................. 919,300 39,000 McCormick & Company, Inc. ................... 1,638,780 ------------ 15,040,866 ------------ HAND / MACHINE-TOOLS -- 0.4% 28,400 Black & Decker Corporation .................. 1,120,664 ------------ HOUSEHOLD PRODUCTS -- 0.7% 54,600 Clorox Company .............................. 1,848,210 ------------ See Notes to Financial Statements. 36 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) INSURANCE -- 4.6% 47,200 Aon Corporation ............................. $ 1,652,000 40,700 Chubb Corporation ........................... 3,151,401 42,000 Lincoln National Corporation ................ 2,173,500 66,800 SAFECO Corporation .......................... 1,970,600 112,600 UnumProvident Corporation ................... 3,616,712 ------------ 12,564,213 ------------ LODGING -- 1.8% 146,100 Hilton Hotels Corporation ................... 1,694,760 82,526 Starwood Hotels & Resorts Worldwide, Inc. ........................... 3,076,569 ------------ 4,771,329 ------------ MANUFACTURING -- 0.9% 67,000 Rockwell International Corporation .......... 2,554,040 ------------ MEDIA AND COMMUNICATIONS -- 1.1% 51,700 Knight-Ridder, Inc. ......................... 3,065,810 ------------ MEDICAL SUPPLIES AND EQUIPMENT -- 0.7% 54,400 Becton, Dickinson & Company ................. 1,946,976 ------------ METALS / MINING -- 1.7% 29,900 Minnesota Mining & Manufacturing Company ..................... 3,411,590 28,700 Phelps Dodge Corporation .................... 1,191,050 ------------ 4,602,640 ------------ PAPER AND PAPER PRODUCTS -- 1.5% 95,593 International Paper Company ................. 3,412,670 26,400 Mead Corporation ............................ 716,496 ------------ 4,129,166 ------------ PETROLEUM - DOMESTIC -- 0.6% 54,200 USX-Marathon Group .......................... 1,599,442 ------------ PETROLEUM - INTERNATIONAL -- 10.7% 31,500 Amerada Hess Corporation .................... 2,545,200 101,274 BP Amoco Plc, Sponsored ADR ................. 5,048,509 42,900 Chevron Corporation ......................... 3,882,450 78,661 Exxon Mobil Corporation ..................... 6,871,038 56,400 Royal Dutch Petroleum Company, NY Shares ........................ 3,286,428 65,900 Texaco, Inc. ................................ 4,388,940 86,300 Unocal Corporation .......................... 2,947,145 ------------ 28,969,710 ------------ PHARMACEUTICALS -- 3.4% 53,300 Abbott Laboratories ......................... 2,558,933 77,100 American Home Products Corporation ............................... 4,505,724 57,200 Schering-Plough Corporation ................. 2,072,928 ------------ 9,137,585 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ PHOTOGRAPHY EQUIPMENT AND SUPPLIES -- 1.0% 59,600 Eastman Kodak Company ....................... $ 2,782,128 ------------ PRINTING AND PUBLISHING -- 2.7% 64,500 Donnelley (R.R.) & Sons Company ............. 1,915,650 31,200 Dow Jones & Company, Inc. ................... 1,862,952 33,650 Dun and Bradstreet Corporation+ ............. 948,930 60,900 Moody's Corporation ......................... 2,040,150 18,500 Reader's Digest Association, Inc., Class A ................................... 531,875 ------------ 7,299,557 ------------ RAILROADS -- 2.5% 110,000 Norfolk Southern Corporation ................ 2,277,000 83,900 Union Pacific Corporation ................... 4,606,949 ------------ 6,883,949 ------------ REAL ESTATE -- 1.5% 64,500 Rouse Company ............................... 1,847,925 74,632 Simon Property Group, Inc. .................. 2,236,721 ------------ 4,084,646 ------------ RESTAURANTS -- 0.9% 86,300 McDonald's Corporation ...................... 2,335,278 ------------ RETAIL -- 2.4% 65,450 May Department Stores Company ............... 2,242,317 43,100 Penney (J.C.) Company, Inc. ................. 1,136,116 128,600 Toys "R" Us, Inc.+ .......................... 3,182,850 ------------ 6,561,283 ------------ SPECIALTY CHEMICALS -- 1.1% 59,500 Great Lakes Chemical Corporation ............ 1,835,575 110,400 Hercules, Inc. .............................. 1,247,520 ------------ 3,083,095 ------------ TECHNOLOGY -- 2.4% 4,500 BMC Software, Inc.+ ......................... 101,430 44,300 Intel Corporation ........................... 1,295,775 34,600 Microsoft Corporation+ ...................... 2,525,800 58,500 Texas Instruments, Inc. ..................... 1,842,750 45,500 Unisys Corporation+ ......................... 669,305 ------------ 6,435,060 ------------ TELECOMMUNICATIONS -- 7.1% 55,000 ALLTEL Corporation .......................... 3,369,300 98,750 AT&T Corporation ............................ 2,172,500 62,800 BellSouth Corporation ....................... 2,528,956 46,600 Corning, Inc. ............................... 778,686 53,900 Lucent Technologies, Inc. ................... 334,180 90,774 SBC Communications, Inc. .................... 3,636,407 95,900 Sprint Corporation .......................... 2,048,424 82,494 Verizon Communications ...................... 4,413,429 ------------ 19,281,882 ------------ See Notes to Financial Statements. 37 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) UTILITIES -- 1.6% 30,100 Baker Hughes, Inc. .......................... $ 1,008,350 60,850 FirstEnergy Corporation ..................... 1,956,936 4,553 Mirant Corporation+ ......................... 156,623 52,100 Southern Company ............................ 1,211,325 ------------ 4,333,234 ------------ WASTE DISPOSAL -- 1.4% 120,162 Waste Management, Inc. ...................... 3,703,393 ------------ Total Common Stock (Cost $239,605,100) ....................... 257,774,093 ------------ MUTUAL FUNDS - OPEN END -- 4.7% 12,748,855 Reserve Investment Fund 3.800% due 07/02/01 ....................... 12,748,855 ------------ Total Mutual Funds - Open End (Cost $12,748,855) ........................ 12,748,855 ------------ TOTAL INVESTMENTS (COST $252,353,955*)........................... 99.8% 270,522,948 OTHER ASSETS AND LIABILITIES (NET).......................................... 0.2% 631,321 ------ ------------ NET ASSETS........................................ 100.0% $271,154,269 ====== ============ - ----------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-income Producing Security. Abbreviation: ADR -- American Depository Receipt See Notes to Financial Statements. 38 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 94.9% BANKING AND FINANCE -- 11.6% 33,000 Bank of New York Company, Inc. .............. $ 1,584,000 168,908 Citigroup, Inc. ............................. 8,925,099 33,900 Fannie Mae .................................. 2,886,585 35,300 Fifth Third Bancorp ......................... 2,119,765 114,000 Freddie Mac ................................. 7,980,000 16,400 State Street Corporation .................... 811,636 53,300 U.S. Bancorp ................................ 1,214,707 44,200 Wells Fargo Company ......................... 2,052,206 ------------ 27,573,998 ------------ COMMERCIAL SERVICES -- 0.1% 24,500 Compass Group Plc+ .......................... 196,061 ------------ COMPUTER SERVICES AND SOFTWARE -- 7.5% 15,600 Adobe Systems, Inc. ......................... 733,200 35,500 Automatic Data Processing, Inc. ............. 1,764,350 12,400 Brocade Communications Systems, Inc.+ ............................ 545,476 7,300 Check Point Software Technologies, Ltd.+ ....................... 369,161 154,300 Cisco Systems, Inc.+ ........................ 2,808,260 31,000 Dell Computer Corporation+ .................. 804,450 12,100 Electronic Data Systems Corporation ............................... 756,250 26,500 EMC Corporation+ ............................ 769,825 60,500 Exodus Communications, Inc.+ ................ 124,630 14,700 Intel Corporation ........................... 429,975 12,300 Juniper Networks, Inc.+ ..................... 382,530 60,900 Microsoft Corporation+ ...................... 4,445,700 23,400 Siebel Systems, Inc.+ ....................... 1,097,460 45,800 VeriSign, Inc.+ ............................. 2,748,458 ------------ 17,779,725 ------------ CONSUMER PRODUCTS -- 2.7% 93,700 Philip Morris Companies, Inc. ............... 4,755,275 60,800 Sysco Corporation ........................... 1,650,720 ------------ 6,405,995 ------------ DIVERSIFIED OPERATIONS -- 9.9% 14,600 American Express Company .................... 566,480 83,300 Cendant Corporation+ ........................ 1,624,350 96,300 First Data Corporation ...................... 6,187,275 147,800 General Electric Company .................... 7,205,250 47,500 Honeywell International, Inc. ............... 1,662,025 193,010 Hutchison Whampoa, Ltd. ..................... 1,948,751 20,600 TMP Worldwide, Inc.+ ........................ 1,217,666 34,444 Tyco International, Ltd. .................... 1,877,198 41,200 Waters Corporation+ ......................... 1,137,532 ------------ 23,426,527 ------------ ELECTRONIC COMPONENTS -- 4.2% 28,900 Altera Corporation+ ......................... 838,100 27,100 Analog Devices, Inc.+ ....................... 1,172,075 9,600 Celestica, Inc.+ ............................ 494,400 VALUE SHARES (NOTE 1) - ----------- ------------ ELECTRONIC COMPONENTS -- (CONTINUED) 107,700 Flextronics International, Ltd.+ ............ $ 2,812,047 6,800 KLA-Tencor Corporation+ ..................... 397,596 23,800 Maxim Integrated Products, Inc.+ ............ 1,052,198 21,600 Philips Electronics NV ...................... 572,531 6,100 Samsung Electronics ......................... 900,609 24,500 Sony Corporation ............................ 1,610,865 ------------ 9,850,421 ------------ ENTERTAINMENT AND LEISURE -- 1.7% 18,000 Electronic Arts, Inc.+ ...................... 1,042,200 14,200 Fox Entertainment Group, Inc., Class A+ .................................. 396,180 40,700 MGM Mirage, Inc. ............................ 1,219,372 36,500 Starwood Hotels and Resorts Worldwide, Inc. ........................... 1,360,720 ------------ 4,018,472 ------------ FINANCIAL SERVICES -- 5.5% 18,500 Capital One Financial Corporation ........... 1,110,000 58,000 Concord EFS, Inc.+ .......................... 3,016,580 37,200 Hartford Financial Services Group, Inc. ............................... 2,544,480 18,150 J.P. Morgan Chase & Company ................. 809,490 37,700 Morgan Stanley Dean Witter & Company ................................. 2,421,471 47,800 Providian Financial Corporation ............. 2,829,760 21,700 Schwab (Charles) Corporation ................ 332,010 ------------ 13,063,791 ------------ FOOD AND BEVERAGES -- 2.7% 50,600 Coca-Cola Company ........................... 2,277,000 17,000 General Mills, Inc. ......................... 744,260 20,200 Kraft Foods, Inc.+ .......................... 626,200 62,000 PepsiCo, Inc. ............................... 2,740,400 ------------ 6,387,860 ------------ HEALTH CARE SERVICES -- 8.4% 68,100 American Home Products Corporation ............................... 3,979,764 11,900 Amgen, Inc.+ ................................ 722,092 17,400 Bristol-Myers Squibb Company ................ 910,020 47,300 HCA-Healthcare Company ...................... 2,137,487 80,300 Johnson & Johnson ........................... 4,015,000 85,800 UnitedHealth Group, Inc. .................... 5,298,150 29,600 Wellpoint Health Networks, Inc.+ ............ 2,789,504 ------------ 19,852,017 ------------ INSURANCE -- 4.7% 75,200 ACE, Ltd. ................................... 2,939,568 23,300 American International Group, Inc. .......... 2,003,800 8,000 Fairfax Financial Holdings, Ltd.+ ........... 1,201,402 18,900 Loews Corporation ........................... 1,217,727 18,200 Marsh & McLennan Companies, Inc. ............ 1,838,200 8,800 Progressive Corporation ..................... 1,189,672 9,800 XL Capital, Ltd., Class A ................... 804,580 ------------ 11,194,949 ------------ See Notes to Financial Statements. 39 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) MACHINERY -- 0.6% 19,600 Applied Materials, Inc.+ .................... $ 962,360 7,500 Danaher Corporation ......................... 420,000 ------------ 1,382,360 ------------ MEDIA AND COMMUNICATIONS -- 8.9% 97,800 AOL Time Warner, Inc.+ ...................... 5,183,400 186,200 AT&T Corporation - Liberty Media Corporation, Class A+ . ............. 3,256,638 39,100 Clear Channel Communications, Inc.+ ......... 2,451,570 50,500 Comcast Corporation, Special Class A+ .................................. 2,191,700 18,500 Omnicom Group, Inc. ......................... 1,591,000 19,300 Univision Communications, Inc., Class A+ .................................. 825,654 67,470 Viacom, Inc., Class B+ ...................... 3,491,573 20,700 VNU NV ...................................... 700,958 129,000 WPP Group Plc ............................... 1,269,988 ------------ 20,962,481 ------------ MEDICAL PRODUCTS -- 1.5% 46,500 Baxter International, Inc. .................. 2,278,500 30,261 Pharmacia Corporation ....................... 1,390,493 ------------ 3,668,993 ------------ OIL AND GAS -- 1.2% 59,500 Baker Hughes, Inc. .......................... 1,993,250 15,800 El Paso Corporation ......................... 830,132 ------------ 2,823,382 ------------ PETROLEUM - INTERNATIONAL -- 3.5% 33,700 Chevron Corporation ......................... 3,049,850 31,595 Exxon Mobil Corporation ..................... 2,759,823 43,500 Royal Dutch Petroleum Company, NY Shares ........................ 2,534,745 ------------ 8,344,418 ------------ PHARMACEUTICALS -- 6.9% 30,000 Abbott Laboratories ......................... 1,440,300 26,100 Allergan, Inc. .............................. 2,231,550 51,800 MedImmune, Inc.+ ............................ 2,444,960 15,100 Merck & Company, Inc. ....................... 965,041 189,050 Pfizer, Inc. ................................ 7,571,453 43,900 Schering-Plough Corporation ................. 1,590,936 ------------ 16,244,240 ------------ RETAIL -- 6.0% 13,318 CVS Corporation ............................. 514,075 44,300 Home Depot, Inc. ............................ 2,062,165 115,900 Kroger Company+ ............................. 2,897,500 53,700 Safeway, Inc.+ .............................. 2,577,600 63,800 Target Corporation .......................... 2,207,480 55,100 Wal-Mart De Mexico, Sponsored ADR+ ............................ 1,491,618 49,100 Wal-Mart Stores, Inc. ....................... 2,396,080 ------------ 14,146,518 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ TECHNOLOGY -- 0.3% 9,700 United Technologies Corporation ............. $ 710,622 ------------ TELECOMMUNICATIONS -- 6.8% 211,000 China Mobile (Hong Kong), Ltd.+ ............. 1,114,566 57,900 China Unicom, ADR+ .......................... 1,024,830 23,500 Ciena Corporation+ .......................... 893,000 136,200 Crown Castle International Corporation+ .............................. 2,233,680 38,200 JDS Uniphase Corporation+ ................... 487,050 11,900 Nextel Communications, Inc., Class A+ .................................. 208,250 40,500 Nokia Corporation, Sponsored ADR ............................. 892,620 105 NTT DoCoMo, Inc. ............................ 1,826,957 74,400 Orange S.A. ................................. 604,653 6,000 QUALCOMM, Inc.+ ............................. 350,880 14,600 SBC Communications, Inc. .................... 584,876 130,500 Sprint Corporation (PCS Group)+ ............. 3,151,575 1,253,904 Vodafone Group Plc, Sponsored ADR ............................. 2,777,517 ------------ 16,150,454 ------------ TRANSPORTATION EQUIPMENT -- 0.2% 12,100 Harley-Davidson, Inc. ....................... 569,667 ------------ Total Common Stock (Cost $207,793,370) ....................... 224,752,951 ------------ MUTUAL FUNDS - OPEN END -- 4.6% 10,833,689 Reserve Investment Fund 3.800% due 07/02/01 ....................... 10,833,689 ------------ Total Mutual Funds - Open End (Cost $10,833,689) ........................ 10,833,689 ------------ TOTAL INVESTMENTS (COST $218,627,059*)........................... 99.5% 235,586,640 OTHER ASSETS AND LIABILITIES (NET).......................................... 0.5% 1,252,487 ------ ------------ NET ASSETS........................................ 100.0% $236,839,127 ====== ============ - ---------------- * Aggregate cost for federal tax purposes. + Non-Income Producing Security. Abbreviations: ADR -- American Depository Receipt See Notes to Financial Statements. 40 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- 93.6% AUSTRALIA -- 0.5% 14,000 Brambles Industries, Ltd. ................... $ 341,450 76,000 Publishing and Broadcasting, Ltd. ........... 350,637 ------------ 692,087 ------------ BELGIUM -- 0.9% 26,420 Dexia ....................................... 419,145 25,938 Fortis Class B .............................. 625,811 804 Societe Europeenne Satellites ............... 105,499 2,750 UCB S.A. .................................... 95,567 ------------ 1,246,022 ------------ BRAZIL -- 0.5% 8,550 Pao De Acucar ADS ........................... 198,446 6,295 Telecomunicacoes de Sao Paulo ............... 294,291 8,073 Unibanco-Uniao De Bancos Brasileirs, GDR ........................... 205,458 ------------ 698,195 ------------ CANADA -- 1.1% 5,450 Alcan Aluminum, Ltd. ........................ 229,124 20,441 Celestica, Inc.+ ............................ 1,052,712 6,960 Royal Bank of Canada ........................ 222,665 ------------ 1,504,501 ------------ DENMARK -- 0.1% 2,640 Tele Danmark AS, Series B ................... 95,168 ------------ FINLAND -- 1.5% 98,209 Nokia Oyj ................................... 2,225,674 ------------ FRANCE -- 13.3% 19,898 Alcatel S.A. ................................ 416,072 2,210 Altran Technologies S.A. .................... 102,900 4,363 Aventis S.A. ................................ 339,809 30,189 Aventis S.A., Series A ...................... 2,410,029 52,680 Axa ......................................... 1,500,696 19,962 BNP Paribas S.A. ............................ 1,737,237 6,540 Bouygues S.A. ............................... 221,019 1,110 Canal Plus .................................. 3,317 2,990 Cap Gemini S.A. ............................. 217,686 5,200 Compagnie de Saint-Gobain ................... 706,546 3,242 Equant NV+ .................................. 82,749 2,860 Groupe Danone ............................... 392,474 2,440 Hermes International ........................ 336,697 1,366 Lafarge S.A. Bearer Shares .................. 116,798 3,393 Legrand S.A. ................................ 648,015 3,020 L'Oreal S.A. ................................ 194,943 3,050 LVMH ........................................ 153,631 63,640 Orange S.A.+ ................................ 517,206 24,818 Sanofi -Synthelabo S.A. ..................... 1,628,285 2,872 Schneider Electric S.A. ..................... 158,767 6,086 Societe Generale, Class A ................... 360,397 23,190 Societe Television Francaise 1 .............. 676,516 18,154 Sodexho Alliance S.A. ....................... 847,578 26,790 Total Fina Elf S.A., Class B ................ 3,751,199 28,834 Vivendi Universal S.A. ...................... 1,680,625 ------------ 19,201,191 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ GERMANY -- 4.1% 5,947 Allianz AG .................................. $ 1,745,475 6,063 Bayer AG .................................... 237,903 10,480 Bayerische Hypo-und Vereinsbank AG ............................ 518,127 18,583 Deutsche Bank AG ............................ 1,327,762 3,964 Deutsche Telekom AG ......................... 89,466 13,521 E.On AG ..................................... 702,812 11,210 Gehe AG ..................................... 436,541 3,746 Rhon-Klinikum AG ............................ 174,418 3,970 SAP AG ...................................... 547,487 3,372 Siemens AG .................................. 206,960 ------------ 5,986,951 ------------ HONG KONG -- 2.3% 82,000 Cheung Kong Holdings, Ltd. .................. 893,632 217,000 China Mobile (Hong Kong), Ltd.+ ............. 1,146,260 50,000 Henderson Land Development Company, Ltd. ............................. 221,805 105,900 Hutchison Whampoa, Ltd. ..................... 1,069,233 ------------ 3,330,930 ------------ INDIA -- 0.6% 23,175 Global Tele-Systems, Ltd. ................... 114,303 92,640 Hindustan Lever , Ltd. ...................... 369,667 109,000 ICICI, Ltd. ................................. 153,055 24,833 ICICI, Ltd., Sponsored ADR .................. 228,464 4,000 Reliance Industries, Ltd.+ .................. 31,421 ------------ 896,910 ------------ IRELAND -- 0.2% 6,579 SmartForce Plc, Sponsored ADR+ .............. 231,778 ------------ ISRAEL -- 0.1% 3,470 Check Point Software Technologies, Ltd.+ ....................... 175,478 ------------ ITALY -- 5.7% 69,000 Alleanza Assicurazioni ...................... 727,828 13,200 Assicurazioni Generali S.p.A Shares ......... 396,702 515,912 Banca Intesa S.p.A .......................... 1,821,267 46,750 Banca Nazionale del Lavoro+ ................. 146,435 53,000 Bipop-Carire S.p.A .......................... 199,214 101,886 ENI S.p.A ................................... 1,242,049 15,000 Mediaset S.p.A .............................. 126,223 32,765 Mediolanum Shares S.p.A ..................... 330,080 450,615 Olivetti S.p.A .............................. 797,285 8,384 Sao Paolo-IMI S.p.A ......................... 107,458 51,958 Telecom Italia S.p.A ........................ 466,251 165,353 Tim S.p.A ................................... 842,695 258,553 UniCredit Italiano S.p.A .................... 1,109,735 ------------ 8,313,222 ------------ JAPAN -- 16.9% 66,000 Canon, Inc. ................................. 2,667,189 36 DDI Corporation ............................. 167,998 8,900 Fanuc, Ltd. ................................. 443,160 See Notes to Financial Statements. 41 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) JAPAN -- (CONTINUED) 64 Fuji Television Network, Inc. ............... $ 367,941 7,000 Fujisawa Pharmaceutical Company, Ltd. ............................. 158,280 29,000 Fujitsu, Ltd. ............................... 304,613 23,000 Hitachi, Ltd. ............................... 225,914 6,000 Ito-Yokado Company, Ltd. .................... 276,629 13,000 Kao Corporation ............................. 323,135 17,000 Kokuyo Company, Ltd. ........................ 178,566 7,700 Kyocera Corporation ......................... 679,145 45,000 Marui Company, Ltd. ......................... 649,478 8,100 Matsushita Communication Industrial Company, Ltd. .................. 368,903 64,000 Matsushita Electric Industrial Company, Ltd. ............................. 1,001,703 77,000 Mitsui Fudosan Company, Ltd. ................ 829,792 274 Mizuho Holdings, Inc. ....................... 1,274,259 16,900 Murata Manufacturing Company, Ltd. ............................. 1,123,364 62,000 NEC Corporation ............................. 837,666 143 Nippon Telegraph & Telephone Corporation ............................... 745,296 72,000 Nomura Securities Company, Ltd. ............. 1,379,779 139 NTT DoCoMo, Inc. ............................ 2,418,543 28,000 Sankyo Company, Ltd. ........................ 505,149 13,240 Seven-Eleven Japan Company, Ltd. ............ 517,007 16,000 Shin-Etsu Chemical Company, Ltd. ............ 587,577 28,000 Shiseido Company, Ltd. ...................... 262,678 33,900 Sony Corporation ............................ 2,228,912 126,000 Sumitomo Bank, Ltd. ......................... 1,040,608 54,000 Sumitomo Corporation ........................ 377,996 5,000 TDK Corporation ............................. 232,930 9,200 Tokyo Electron, Ltd. ........................ 556,947 173,000 Toshiba Corporation ......................... 914,136 51 UFJ Holdings, Inc. .......................... 274,392 22,000 Yamanouchi Pharmaceutical Company, Ltd. ............................. 617,405 ------------ 24,537,090 ------------ KOREA -- 0.6% 8,197 Korea Telecom Corporation, Sponsored ADR+............................. 180,170 9,379 Pohang Iron & Steel Company, Ltd., Sponsored ADR.............................. 184,954 3,691 Samsung Electronics Company ................. 544,942 ------------ 910,066 ------------ MEXICO -- 1.3% 136,340 Fomento Economico Mexicano S.A. de C.V................................ 577,637 73,000 Grupo Financiero Banamex Accival S.A. de CV, Series O............... 188,220 12,000 Grupo Iusacell, ADR+ ........................ 82,920 23,882 Grupo Televisa-GDR (2 Part Cert)+ ........... 955,519 3,568 Telefonos de Mexicano S.A. de C.V., ADR ....................................... 125,201 ------------ 1,929,497 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ NETHERLANDS -- 7.8% 5,400 ABN Amro Holdings NV ........................ $ 101,441 2,296 Akzo Nobel NV ............................... 97,186 35,450 ASM Lithography, Holding NV+ ................ 794,987 21,860 Elsevier NV ................................. 272,038 31,920 Fortis NV ................................... 776,085 50,620 ING Groep NV, CVA Shares .................... 3,308,273 4,551 Koninklijke KPN NV .......................... 25,813 59,539 Philips Electronics NV ...................... 1,578,143 25,980 Royal Dutch Petroleum Company ............... 1,495,141 14,373 STMicroelectronics NV ....................... 498,877 47,910 VNU NV ...................................... 1,622,363 25,848 Wolters Kluwer NV ........................... 694,756 ------------ 11,265,103 ------------ NORWAY -- 0.3% 19,730 Orkla ASA, A Shares ......................... 357,170 14,560 Statoil ASA+ ................................ 107,615 ------------ 464,785 ------------ PORTUGAL -- 0.4% 13,503 Jeronimo Martins SGPS, S.A. ................. 86,877 64,830 Portugal Telecom SGPS, S.A. ................. 452,236 ------------ 539,113 ------------ SINGAPORE -- 0.6% 136,272 United Overseas Bank, Ltd. .................. 860,138 ------------ SPAIN -- 2.7% 103,923 Banco Bilbao Vizcaya Argentaria S.A. ........................... 1,344,302 92,823 Banco Santander Central Hispano S.A. .............................. 840,817 31,255 Endesa S.A. ................................. 498,497 16,616 Repsol YPF S.A. ............................. 274,298 53,902 Telefonica S.A.+ ............................ 664,398 8,518 Telefonica S.A., Sponsored ADR+ ............. 317,210 ------------ 3,939,522 ------------ SWEDEN -- 3.1% 18,740 Electrolux AB, Series B ..................... 259,106 140,140 Ericsson AB, B Shares ....................... 766,037 32,450 Hennes & Mauritz AB, Series B ............... 555,987 217,774 Nordea AB ................................... 1,240,419 7,410 Sandvik AB, Series B ........................ 149,085 85,606 Securitas AB, Series B ...................... 1,498,201 ------------ 4,468,835 ------------ SWITZERLAND -- 4.4% 17,590 ABB, Ltd.+ .................................. 266,196 29,110 Adecco S.A. ................................. 1,370,187 1,790 Credit Suisse Group, Registered Shares ......................... 294,292 11,460 Nestle S.A. ................................. 2,435,652 9,100 Roche Holding AG+ ........................... 655,660 9,214 UBS AG, Registered Shares ................... 1,320,057 ------------ 6,342,044 ------------ See Notes to Financial Statements. 42 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2001 (UNAUDITED) VALUE SHARES (NOTE 1) - ----------- ------------ COMMON STOCK -- (CONTINUED) TAIWAN -- 0.5% 388,976 Taiwan Semiconductor Manufacturing Company+ .................... $ 723,070 ------------ UNITED KINGDOM -- 23.9% 14,500 Abbey National Plc .......................... 253,892 40,433 AstraZeneca Group Plc ....................... 1,883,950 2,500 Autonomy Corporation Plc+ ................... 14,433 22,539 B G Group Plc ............................... 88,837 101,000 BP Amoco Plc ................................ 830,267 37,000 British Telecommunications Plc .............. 232,606 64,685 Cable & Wireless Plc ........................ 380,497 76,072 Cadbury Schweppes Plc ....................... 513,009 25,290 Celltech Group Plc+ ......................... 426,106 46,400 Centrica Plc ................................ 148,297 283,800 Compass Group Plc+ .......................... 2,271,102 131,064 Diageo Plc .................................. 1,437,772 15,710 Dimension Data Holdings Plc+ ................ 59,656 51,490 Electrocomponents Plc ....................... 389,598 7,000 GKN Plc ..................................... 67,142 229,521 GlaxoSmithKline Plc+ ........................ 6,467,921 258,544 Granada Compass Plc+ ........................ 542,701 75,526 Hays Plc .................................... 194,649 45,000 Hilton Group Plc ............................ 151,259 27,200 HSBC Holdings Plc ........................... 321,708 85,000 Kingfisher Plc .............................. 459,949 70,980 Lattice Group Plc+ .......................... 158,475 19,000 Reckitt Benckiser Plc ....................... 273,898 318,000 Reed International Plc ...................... 2,817,602 74,000 Rio Tinto Plc ............................... 1,313,418 139,688 Royal Bank of Scotland Group Plc ............ 3,078,506 2,670 Sainsbury (J.) Plc .......................... 16,645 373,856 Shell Transport & Trading Company Plc ............................... 3,107,447 42,000 Smith (David S.) Holdings Plc ............... 82,402 59,000 Standard Chartered Plc ...................... 755,931 179,300 Tesco Plc ................................... 646,814 163,814 Tomkins Plc ................................. 422,189 79,857 Unilever Plc ................................ 672,747 20,563 United Business Media Plc ................... 167,158 1,099,134 Vodafone Group Plc .......................... 2,434,687 156,640 WPP Group Plc ............................... 1,542,100 ------------ 34,625,370 ------------ UNITED STATES -- 0.2% 12,600 Flextronics International, Ltd.+ ............ 328,986 ------------ Total Common Stock (Cost $160,664,017) ....................... 135,531,726 ------------ RIGHTS -- 0.0%** PORTUGAL -- 0.0% 64,830 Portugal Telecom S.A., Expires 07/09/01+ ......................... 8,781 ------------ Total Rights (Cost $0) ................................. 8,781 ------------ VALUE SHARES (NOTE 1) - ----------- ------------ PREFERRED STOCK -- 1.5% AUSTRALIA -- 0.7% 128,107 News Corporation (The), Ltd. ................ $ 1,026,508 ------------ BRAZIL -- 0.8% 48,535 Petroleo Brasiliero S.A. Petrobras .......... 1,132,760 ------------ Total Preferred Stock (Cost $2,716,113) ......................... 2,159,268 ------------ TOTAL INVESTMENTS (COST $163,380,130*)........................... 95.1% 137,699,775 OTHER ASSETS AND LIABILITIES (NET).......................................... 4.9% 7,167,288 ------ ------------ NET ASSETS........................................ 100.0% $144,867,063 ====== ============ - ---------------- * Aggregate cost for federal tax purposes. ** Amount represents less than 0.1%. + Non-Income Producing Security. Abbreviations: ADR -- American Depositary Receipt GDR -- Global Depositary Receipt See Notes to Financial Statements. 43 PORTFOLIO OF INVESTMENTS ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO JUNE 30, 2001 (UNAUDITED) At June 30, 2001, sector diversification of the Portfolio was as follows: % OF VALUE SECTOR DIVERSIFICATION NET ASSETS (NOTE 1) - ---------------------- ---------- -------- COMMON STOCK: Banks .................................... 10.8% $ 15,686,382 Telecommunications ....................... 7.0% 10,100,149 Electronics .............................. 6.9% 9,986,314 Drugs .................................... 4.5% 6,539,668 Medical Supplies ......................... 4.5% 6,456,013 Oil Companies ............................ 4.4% 6,350,905 Medial Products .......................... 4.0% 5,845,089 Publishing & News ........................ 3.9% 5,590,561 Financial Services ....................... 3.6% 5,251,993 Insurance ................................ 3.3% 4,748,416 Petroleum ................................ 3.0% 4,349,497 Telephone ................................ 3.0% 4,270,648 Office/Business Equipment ................ 2.4% 3,464,474 Diversified Financial Services ........... 2.4% 3,408,411 Catering ................................. 2.2% 3,130,588 Services ................................. 2.1% 3,050,812 Cosmetic/Personal Care ................... 2.0% 2,922,991 Electrical Equipment ..................... 1.7% 2,401,990 Diversified Operations ................... 1.4% 2,027,521 Beverages ................................ 1.4% 2,015,409 Retail Grocery ........................... 1.3% 1,896,449 Agriculture .............................. 1.3% 1,861,093 Food & Kindred Products .................. 1.3% 1,823,054 Real Estate .............................. 1.2% 1,723,424 Commercial Services ...................... 1.1% 1,652,436 Other Services ........................... 1.0% 1,498,201 Broadcasting Radio & TV .................. 0.9% 1,326,777 Building and Construction ............... 0.9% 1,320,039 Diversified Mining ....................... 0.9% 1,313,418 Electronic-Semiconductor ................. 0.8% 1,221,947 Electrical Products ...................... 0.8% 1,192,957 Office Supplies .......................... 0.6% 913,482 Manufacturing Industries ................. 0.6% 909,772 Media .................................... 0.6% 802,739 Banking/Financials ....................... 0.5% 743,598 % OF VALUE SECTOR DIVERSIFICATION NET ASSETS (NOTE 1) - ---------------------- ---------- -------- COMMON STOCK (CONTINUED): Computers Software ....................... 0.5% $ 722,964 Consumer Goods ........................... 0.5% 672,747 Electric Services ........................ 0.3% 426,107 Therapeutics ............................. 0.3% 604,747 Transportation Services .................. 0.3% 391,081 Consumer Non-Durables .................... 0.3% 369,667 Building Products ........................ 0.2% 339,809 Apparel .................................. 0.2% 336,697 Chemicals ................................ 0.2% 335,089 Machinery ................................ 0.2% 307,851 Computer Systems ......................... 0.2% 304,613 Computer Industry ........................ 0.2% 300,435 Energy & Utilities ....................... 0.2% 266,196 Consumer Elect/Appliances ................ 0.2% 259,106 Multi Media .............................. 0.2% 244,384 Gas Transmission ......................... 0.2% 237,134 Holding, Other Investment Offices ........ 0.2% 231,778 Metals ................................... 0.2% 229,124 Real Estate Investment Offices (REIT) .... 0.1% 221,805 Steel .................................... 0.1% 184,954 Wine & Spirits ........................... 0.1% 153,631 Casino/Gambling .......................... 0.1% 151,259 Construction ............................. 0.1% 116,798 Engineering .............................. 0.1% 102,900 Paper .................................... 0.1% 82,402 Auto & Trucks ............................ 0.0%# 67,142 Networking Software ...................... 0.0%# 59,656 Data Processing .......................... 0.0%# 14,433 ------ ------------ TOTAL COMMON STOCK ....................... 93.6% 135,531,726 TOTAL RIGHTS ............................. 0.0%# 8,781 TOTAL PREFERRED STOCK .................... 1.5% 2,159,268 ------ ------------ TOTAL INVESTMENTS ........................ 95.1% 137,699,775 OTHER ASSETS AND LIABILITIES ............. 4.9% 7,167,288 ------ ------------ NET ASSETS ............................... 100.0% $144,867,063 ====== ============ - ---------------------- # Amount represents less than 0.1% See Notes to Financial Statements. 44 (This page intentionally left blank.) 45 STATEMENTS OF ASSETS AND LIABILITIES ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED)
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ------------ ------------ ASSETS: Investments, at value (Note 1) See accompanying schedule ................... $ 42,718,039 $35,720,794 $191,621,653 $291,575,871 $ 72,421,175 $315,055,073 Repurchase agreements (Note 1) ................... -- -- -- -- 3,651,000 15,668,000 Cash .......................... 1,548,927 1,942,092 13,726 166,943 144,711 216,470 Foreign currency, at value (Cost $133,934, $2,880, $190 $274,797, and $2,511,428, respectively) .............. 171,400 -- -- -- -- -- Receivable for investment securities sold ............ 195,622 87,675 10,687,501 14,370,263 27,283,936 21,111,802 Receivable for Portfolio shares sold ................ -- -- -- 2,864,135 -- -- Unamortized organization costs (Note 6) ............. 13,220 -- -- -- -- -- Dividends and/or interest receivable ................. 55,227 27,841 211,568 24,382 972,425 1,526,855 Net unrealized appreciation on forward foreign currency contracts ......... -- -- -- -- -- -- Prepaid expenses .............. -- 339 2,586 2,560 1,045 7,961 Variation Margin (Note 1) ..... -- -- -- -- 152,525 195,984 Other Assets .................. -- -- -- -- -- 768 ------------ ----------- ------------ ------------ ------------ ------------ Total Assets ............... 44,702,435 37,778,741 202,537,034 309,004,154 104,626,817 353,782,913 ------------ ----------- ------------ ------------ ------------ ------------ LIABILITIES: Payable for investment securities purchased ....... 2,033,767 1,992,211 11,153,406 24,990,089 16,809,724 53,035,318 Foreign currency, at value (Cost $11,948) ............. -- -- -- -- -- -- Net unrealized depreciation on forward foreign currency contracts ......... 40,107 -- -- -- -- -- Distributions Payable ......... -- -- -- -- -- -- Due to Custodian .............. -- -- -- -- -- -- Investment management fee payable (Note 2) ........... 37,776 25,075 141,597 185,272 48,493 199,951 Accrued expenses and other payables ................... 14,789 10,309 12,945 32,068 10,893 64,795 ------------ ----------- ------------ ------------ ------------ ------------ Total Liabilities .......... 2,126,439 2,027,595 11,307,948 25,207,429 16,869,110 53,300,064 ------------ ----------- ------------ ------------ ------------ ------------ NET ASSETS .................... $ 42,575,996 $35,751,146 $191,229,086 $283,796,725 $ 87,757,707 $300,482,849 ============ =========== ============ ============ ============ ============ Investments, at Identified Cost ............ $ 46,063,014 $35,822,137 $171,247,051 $303,172,570 $ 76,100,757 $319,519,651 ============ =========== ============ ============ ============ ============
T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR PRICE ENHANCED ENDEAVOR JANUS MONEY JENNISON EQUITY INDEX HIGH YIELD GROWTH MARKET GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ----------- ------------ ASSETS: Investments, at value (Note 1) See accompanying schedule ................... $143,597,942 $28,357,224 $564,070,626 $264,532,173 $32,960,904 $270,522,948 Repurchase agreements (Note 1) ................... -- -- -- -- -- -- Cash .......................... 19,302 148,007 -- -- -- -- Foreign currency, at value (Cost $133,934, $2,880, $190 $274,797, and $2,511,428, respectively) .............. -- -- 2,867 -- -- 232 Receivable for investment securities sold ............ 1,045,597 2,579,513 32,010,428 -- 134,745 2,060,552 Receivable for Portfolio shares sold ................ 22,274 -- -- -- -- -- Unamortized organization costs (Note 6) ............. 4,168 9,017 -- -- 1,981 -- Dividends and/or interest receivable ................. 149,463 618,235 70,268 212,283 20,083 528,422 Net unrealized appreciation on forward foreign currency contracts ......... -- -- 296,173 -- -- -- Prepaid expenses .............. 2,000 -- 13,564 1,761 563 3,339 Variation Margin (Note 1) ..... 3,079 -- -- -- -- -- Other Assets .................. -- -- -- -- -- -- ------------ ----------- ------------ ------------ ----------- ------------ Total Assets ............... 144,843,825 31,711,996 596,463,926 264,746,217 33,118,276 273,115,493 ------------ ----------- ------------ ------------ ----------- ------------ LIABILITIES: Payable for investment securities purchased ....... 1,076,491 2,910,577 34,690,942 -- 665,365 1,760,675 Foreign currency, at value (Cost $11,948) ............. -- 10,070 -- -- -- -- Net unrealized depreciation on forward foreign currency contracts ......... -- -- -- -- -- -- Distributions Payable ......... -- -- -- 717,095 -- -- Due to Custodian .............. -- -- 212,853 -- -- -- Investment management fee payable (Note 2) ........... 92,064 19,431 362,715 101,836 22,002 187,994 Accrued expenses and other payables ................... 33,933 12,546 56,325 8,495 4,933 12,555 ------------ ----------- ------------ ------------ ----------- ------------ Total Liabilities .......... 1,202,488 2,952,624 35,322,835 827,426 692,300 1,961,224 ------------ ----------- ------------ ------------ ----------- ------------ NET ASSETS .................... $143,641,337 $28,759,372 $561,141,091 $263,918,791 $32,425,976 $271,154,269 ============ =========== ============ ============ =========== ============ Investments, at Identified Cost ............ $147,112,951 $31,601,956 $617,699,380 $264,532,173 $34,482,022 $252,353,955 ============ =========== ============ ============ =========== ============
T. ROWE T. ROWE PRICE PRICE GROWTH INTERNATIONAL STOCK STOCK PORTFOLIO PORTFOLIO ------------ ------------ ASSETS: Investments, at value (Note 1) See accompanying schedule ................... $235,586,640 $137,699,775 Repurchase agreements (Note 1) ................... -- -- Cash .......................... 346,693 4,276,695 Foreign currency, at value (Cost $133,934, $2,880, $190 $274,797, and $2,511,428, respectively) .............. 271,792 2,452,393 Receivable for investment securities sold ............ 2,936,588 693,609 Receivable for Portfolio shares sold ................ -- -- Unamortized organization costs (Note 6) ............. -- -- Dividends and/or interest receivable ................. 206,055 330,374 Net unrealized appreciation on forward foreign currency contracts ......... -- -- Prepaid expenses .............. 3,475 2,845 Variation Margin (Note 1) ..... -- -- Other Assets .................. -- -- ------------ ------------ Total Assets ............... 239,351,243 145,455,691 ------------ ------------ LIABILITIES: Payable for investment securities purchased ....... 2,313,925 450,210 Foreign currency, at value (Cost $11,948) ............. -- -- Net unrealized depreciation on forward foreign currency contracts ......... -- -- Distributions Payable ......... -- -- Due to Custodian .............. -- -- Investment management fee payable (Note 2) ........... 163,291 105,467 Accrued expenses and other payables ................... 34,900 32,951 ------------ ------------ Total Liabilities .......... 2,512,116 588,628 ------------ ------------ NET ASSETS .................... $236,839,127 $144,867,063 ============ ============ Investments, at Identified Cost ............ $218,627,059 $163,380,130 ============ ============
See Notes to Financial Statements. 46-47 STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED)
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ------------ ------------ NET ASSETS CONSIST OF: Undistributed net investment income/(loss) .............. $ 63,140 $ 29,239 $ 936,087 $ (384,553) $ 1,933,107 $ 3,060,967 Accumulated net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ....... (1,095,024) 103,943 4,912,353 32,855,524 (1,180,908) (3,487,044) Net unrealized appreciation/ (depreciation) of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ....... (3,347,616) (101,343) 20,374,602 (11,596,699) 1,671 11,156,305 Paid-in capital ............... 46,955,496 35,719,307 165,006,044 262,922,453 87,003,837 289,752,621 ------------ ----------- ------------ ------------ ------------ ------------ Total Net Assets ........... $ 42,575,996 $35,751,146 $191,229,086 $283,796,725 $ 87,757,707 $300,482,849 ============ =========== ============ ============ ============ ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ....... $ 11.19 $ 10.02 $ 17.03 $ 15.68 $ 11.64 $ 15.89 ============ =========== ============ ============ ============ ============ Number of Portfolio shares outstanding ................ 3,805,169 3,567,503 11,230,970 18,097,209 7,538,270 18,912,002 ============ =========== ============ ============ ============ ============
T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR PRICE ENHANCED ENDEAVOR JANUS MONEY JENNISON EQUITY INDEX HIGH YIELD GROWTH MARKET GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ----------- ------------ NET ASSETS CONSIST OF: Undistributed net investment income/(loss) .............. $ 267,508 $ 1,040,761 $ (1,379,613) $ -- $ (25,063) $ 2,149,222 Accumulated net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ....... (9,678,528) (978,062) (119,338,514) 16,559 (7,781,759) 2,724,301 Net unrealized appreciation/ (depreciation) of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ....... (3,542,470) (3,242,854) (53,332,594) -- (1,521,118) 18,169,035 Paid-in capital ............... 156,594,827 31,939,527 735,191,812 263,902,232 41,753,916 248,111,711 ------------ ----------- ------------ ------------ ----------- ------------ Total Net Assets ........... $143,641,337 $28,759,372 $561,141,091 $263,918,791 $32,425,976 $271,154,269 ============ =========== ============ ============ =========== ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ....... $ 14.20 $ 8.80 $ 55.03 $ 1.00 $ 8.78 $ 18.23 ============ =========== ============ ============ =========== ============ Number of Portfolio shares outstanding ................ 10,113,049 3,267,398 10,197,837 263,902,232 3,693,829 14,873,456 ============ =========== ============ ============ =========== ============
T. ROWE T. ROWE PRICE PRICE GROWTH INTERNATIONAL STOCK STOCK PORTFOLIO PORTFOLIO ------------ ------------ NET ASSETS CONSIST OF: Undistributed net investment income/(loss) .............. $ 103,930 $ 179,328 Accumulated net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ....... (12,834,954) (1,683,388) Net unrealized appreciation/ (depreciation) of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets ....... 16,956,576 (25,739,390) Paid-in capital ............... 232,613,575 172,110,513 ------------ ------------ Total Net Assets ........... $236,839,127 $144,867,063 ============ ============ NET ASSET VALUE, offering price and redemption price per share of beneficial interest outstanding ....... $ 20.08 $ 9.93 ============ ============ Number of Portfolio shares outstanding ................ 11,794,951 14,592,132 ============ ============
See Notes to Financial Statements. 48-49 STATEMENTS OF OPERATIONS ENDEAVOR SERIES TRUST FOR THE SIX MONTHS ENDED JUNE 30, 2001 (UNAUDITED)
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ------------ ------------ INVESTMENT INCOME: Dividends ..................... $ 309,203 $ 181,545 $ 1,707,404 $ 710,886 $ -- $ 663,015 Interest ...................... 72,013 35,311 103,857 67,598 2,234,945 3,786,442 Other ......................... -- -- -- 8,168 -- -- Foreign taxes withheld ........ (15,107) -- (9,360) (2,795) -- -- ------------ ----------- ------------ ------------ ------------ ------------ Total Investment Income .... 366,109 216,856 1,801,901 783,857 2,234,945 4,449,457 ------------ ----------- ------------ ------------ ------------ ------------ EXPENSES: Investment management fee (Note 2) ................... 241,611 143,492 785,220 1,038,295 264,964 1,197,244 Administration fees (Note 2) .. 22,908 22,379 35,951 52,175 14,828 87,003 Custodian fees (Note 2) ....... 20,996 6,969 11,435 33,390 34,235 39,608 Transfer agent fees ........... 49 35 250 462 125 697 Marketing fees paid indirectly (Note 2) ................... -- -- -- 343,092 -- 102,592 Professional fees ............. 4,128 2,711 15,141 21,020 5,936 31,978 Amortization of organization costs (Note 6) ............. 3,138 -- -- -- -- -- Trustees' fees and expenses (Note 2) ................... 2,315 1,816 6,486 12,325 2,749 12,968 Printing fees ................. 738 731 5,063 5,753 2,049 8,196 Insurance fees ................ -- -- 1,737 1,860 720 3,895 Other ......................... 4,889 9,850 5,561 8,740 4,613 15,351 ------------ ----------- ------------ ------------ ------------ ------------ Subtotal ................... 300,772 187,983 866,844 1,517,112 330,219 1,499,532 Fees paid indirectly (Note 2) . -- -- -- (343,092) -- (102,592) Credits allowed by the custodian (Note 2) ......... (865) (367) (1,128) (5,610) (28,408) (8,536) ------------ ----------- ------------ ------------ ------------ ------------ Total expenses ............. 299,907 187,616 865,716 1,168,410 301,811 1,388,404 ------------ ----------- ------------ ------------ ------------ ------------ NET INVESTMENT INCOME/(LOSS) .............. 66,202 29,240 936,185 (384,553) 1,933,134 3,061,053 ------------ ----------- ------------ ------------ ------------ ------------
T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR PRICE ENHANCED ENDEAVOR JANUS MONEY JENNISON EQUITY INDEX HIGH YIELD GROWTH MARKET GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ----------- ------------ INVESTMENT INCOME: Dividends ..................... $ 891,663 $ -- $ 767,554 $ -- $ 111,072 $ 2,820,719 Interest ...................... 27,187 1,180,162 603,086 4,081,052 29,832 308,164 Other ......................... -- 5,177 -- -- -- -- Foreign taxes withheld ........ -- -- (501) -- -- (6,752) ------------ ----------- ------------ ------------ ----------- ------------ Total Investment Income .... 918,850 1,185,339 1,370,139 4,081,052 140,904 3,122,131 ------------ ----------- ------------ ------------ ----------- ------------ EXPENSES: Investment management fee (Note 2) ................... 552,035 104,259 2,539,294 401,705 143,093 1,046,408 Administration fees (Note 2) .. 32,703 21,477 51,665 24,859 6,295 49,231 Custodian fees (Note 2) ....... 31,256 7,720 43,318 16,293 6,596 17,573 Transfer agent fees ........... 200 25 1,442 192 60 21 Marketing fees paid indirectly (Note 2) ................... -- -- 130,391 -- -- -- Professional fees ............. 14,433 2,386 57,408 8,220 2,672 17,315 Amortization of organization costs (Note 6) ............. 2,492 1,380 -- -- 2,590 -- Trustees' fees and expenses (Note 2) ................... 5,568 777 31,653 4,425 1,400 9,052 Printing fees ................. 3,751 897 15,654 3,035 692 6,740 Insurance fees ................ 1,441 603 10,979 1,016 378 2,152 Other ......................... 7,879 8,492 19,508 1,565 2,424 5,859 ------------ ----------- ------------ ------------ ----------- ------------ Subtotal ................... 651,758 148,016 2,901,312 461,310 166,200 1,154,351 Fees paid indirectly (Note 2) . -- -- (130,391) -- -- -- Credits allowed by the custodian (Note 2) ......... (419) (3,702) (21,307) (7,383) (239) (973) ------------ ----------- ------------ ------------ ----------- ------------ Total expenses ............. 651,339 144,314 2,749,614 453,927 165,961 1,153,378 ------------ ----------- ------------ ------------ ----------- ------------ NET INVESTMENT INCOME/(LOSS) .............. 267,511 1,041,025 (1,379,475) 3,627,125 (25,057) 1,968,753 ------------ ----------- ------------ ------------ ----------- ------------
T. ROWE T. ROWE PRICE PRICE GROWTH INTERNATIONAL STOCK STOCK PORTFOLIO PORTFOLIO ------------ ------------ INVESTMENT INCOME: Dividends ..................... $ 911,751 $ 1,522,861 Interest ...................... 312,324 22,352 Other ......................... 6,001 -- Foreign taxes withheld ........ (12,628) (164,568) ------------ ------------ Total Investment Income .... 1,217,448 1,380,645 ------------ ------------ EXPENSES: Investment management fee (Note 2) ................... 982,551 743,290 Administration fees (Note 2) .. 55,943 38,992 Custodian fees (Note 2) ....... 27,175 76,789 Transfer agent fees ........... 1,037 400 Marketing fees paid indirectly (Note 2) ................... 7,155 -- Professional fees ............. 21,143 17,985 Amortization of organization costs (Note 6) ............. -- -- Trustees' fees and expenses (Note 2) ................... 10,130 7,236 Printing fees ................. 6,741 5,659 Insurance fees ................ 2,582 2,174 Other ......................... 7,096 12,079 ------------ ------------ Subtotal ................... 1,121,553 904,604 Fees paid indirectly (Note 2) . (7,155) -- Credits allowed by the custodian (Note 2) ......... (880) (74,553) ------------ ------------ Total expenses ............. 1,113,518 830,051 ------------ ------------ NET INVESTMENT INCOME/(LOSS) .............. 103,930 550,594 ------------ ------------
See Notes to Financial Statements. 50-51 STATEMENTS OF OPERATIONS (CONTINUED) ENDEAVOR SERIES TRUST FOR THE SIX MONTHS ENDED JUNE 30, 2001 (UNAUDITED)
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (NOTES 1 AND 3): Net realized gain/(loss) on: Investments ................ (571,993) 122,242 5,009,470 34,421,976 1,197,001 (3,073,837) Futures contracts .......... -- -- -- -- (687,818) 292,079 Foreign currencies and net other assets ............. (51,128) -- -- -- -- -- ------------ ----------- ------------ ------------ ------------ ------------ Net realized gain/(loss) on investments and foreign currency during the period . (623,121) 122,242 5,009,470 34,421,976 509,183 (2,781,758) ------------ ----------- ------------ ------------ ------------ ------------ Net change in unrealized appreciation/(depreciation) of: Investments ................ (1,862,023) (405,835) 2,636,477 26,941,732 (254,686) (21,974,874) Futures contracts .......... -- -- -- -- 78,144 275,509 Forward foreign exchange contracts ................ (44,571) -- -- -- -- -- Foreign currencies and net other assets ......... 29,703 -- -- -- -- -- ------------ ----------- ------------ ------------ ------------ ------------ Net unrealized appreciation/ (depreciation) of investments and foreign currency during the period ................ (1,876,891) (405,835) 2,636,477 26,941,732 (176,542) (21,699,365) ------------ ----------- ------------ ------------ ------------ ------------ Net realized and unrealized gain/(loss) on investments and foreign currency during the period .......... (2,500,012) (283,593) 7,645,947 61,363,708 332,641 (24,481,123) ------------ ----------- ------------ ------------ ------------ ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................. $ (2,433,810) $ (254,353) $ 8,582,132 $ 60,979,155 $ 2,265,775 $(21,420,070) ============ =========== ============ ============ ============ ============
T. ROWE ENDEAVOR ENDEAVOR PRICE ENHANCED ENDEAVOR JANUS MONEY JENNISON EQUITY INDEX HIGH YIELD GROWTH MARKET GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ----------- ------------ REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (NOTES 1 AND 3): Net realized gain/(loss) on: Investments ................ (6,293,953) (620,672) (106,468,320) 16,570 (6,063,214) 3,306,778 Futures contracts .......... 65,660 -- -- -- -- -- Foreign currencies and net other assets ............. -- 424 45,002 -- -- -- ------------ ----------- ------------ ------------ ----------- ------------ Net realized gain/(loss) on investments and foreign currency during the period . (6,228,293) (620,248) (106,423,318) 16,570 (6,063,214) 3,306,778 ------------ ----------- ------------ ------------ ----------- ------------ Net change in unrealized appreciation/(depreciation) of: Investments ................ (2,661,172) (40,472) (14,131,581) -- 1,355,187 2,374,631 Futures contracts .......... (53,335) -- -- -- -- -- Forward foreign exchange contracts ................ -- -- -- -- -- -- Foreign currencies and net other assets ......... -- 1,949 296,378 -- -- 82 ------------ ----------- ------------ ------------ ----------- ------------ Net unrealized appreciation/ (depreciation) of investments and foreign currency during the period ................ (2,714,507) (38,523) (13,835,203) -- 1,355,187 2,374,713 ------------ ----------- ------------ ------------ ----------- ------------ Net realized and unrealized gain/(loss) on investments and foreign currency during the period .......... (8,942,800) (658,771) (120,258,521) 16,570 (4,708,027) 5,681,491 ------------ ----------- ------------ ------------ ----------- ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................. $ (8,675,289) $ 382,254 $(121,637,996) $ 3,643,695 $(4,733,084) $ 7,650,244 ============ =========== ============= ============ =========== ============
T. ROWE T. ROWE PRICE PRICE GROWTH INTERNATIONAL STOCK STOCK PORTFOLIO PORTFOLIO ------------ ------------ REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY (NOTES 1 AND 3): Net realized gain/(loss) on: Investments ................ (11,162,307) (1,144,217) Futures contracts .......... -- -- Foreign currencies and net other assets ............. (73,923) (44,095) ------------ ------------ Net realized gain/(loss) on investments and foreign currency during the period . (11,236,230) (1,188,312) ------------ ------------ Net change in unrealized appreciation/(depreciation) of: Investments ................ (10,229,620) (28,542,496) Futures contracts .......... -- -- Forward foreign exchange contracts ................ -- -- Foreign currencies and net other assets ......... 20,806 (12,103) ------------ ------------ Net unrealized appreciation/ (depreciation) of investments and foreign currency during the period ................ (10,208,814) (28,554,599) ------------ ------------ Net realized and unrealized gain/(loss) on investments and foreign currency during the period .......... (21,445,044) (29,742,911) ------------ ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................. $(21,341,114) $(29,192,317) ============ ============
See Notes to Financial Statements. 52-53 STATEMENTS OF CHANGES IN NET ASSETS ENDEAVOR SERIES TRUST FOR THE SIX MONTHS ENDED JUNE 30, 2001 (UNAUDITED)
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ------------ ------------ Net investment income/(loss) .............. $ 66,202 $ 29,240 $ 936,185 $ (384,553) $ 1,933,134 $ 3,061,053 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (623,121) 122,242 5,009,470 34,421,976 509,183 (2,781,758) Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (1,876,891) (405,835) 2,636,477 26,941,732 (176,542) (21,699,365) ------------ ----------- ------------ ------------ ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............ (2,433,810) (254,353) 8,582,132 60,979,155 2,265,775 (21,420,070) Distributions to shareholders from net investment income .......... -- (32,409) (1,401,959) -- (4,067,818) (6,100,887) Distributions to shareholders from net realized gains ......... (985,448) (33,934) (12,979,337) (61,530,832) -- (34,641,383) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ...... (4,356,385) 2,565,006 14,673,960 71,262,295 14,378,241 10,312,183 ------------ ----------- ------------ ------------ ------------ ------------ Net increase/(decrease) in net assets .............. (7,775,643) 2,244,310 8,874,796 70,710,618 12,576,198 (51,850,157) NET ASSETS: Beginning of period ........... 50,351,639 33,506,836 182,354,290 213,086,107 75,181,509 352,333,006 ------------ ----------- ------------ ------------ ------------ ------------ End of period ................. $ 42,575,996 $35,751,146 $191,229,086 $283,796,725 $ 87,757,707 $300,482,849 ============ =========== ============ ============ ============ ============ Undistributed net investment income/(loss) .............. $ 63,140 $ 29,239 $ 936,087 $ (384,553) $ 1,933,107 $ 3,060,967 ============ =========== ============ ============ ============ ============
T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR PRICE ENHANCED ENDEAVOR JANUS MONEY JENNISON EQUITY INDEX HIGH YIELD GROWTH MARKET GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ----------- ------------ Net investment income/(loss) .............. $ 267,511 $ 1,041,025 $ (1,379,475) $ 3,627,125 $ (25,057) $ 1,968,753 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (6,228,293) (620,248) (106,423,318) 16,570 (6,063,214) 3,306,778 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (2,714,507) (38,523) (13,835,203) -- 1,355,187 2,374,713 ------------ ----------- ------------ ------------ ----------- ------------ Net increase/(decrease) in net assets resulting from operations ............ (8,675,289) 382,254 (121,637,996) 3,643,695 (4,733,084) 7,650,244 Distributions to shareholders from net investment income .......... (872,983) (1,691,398) -- (3,627,125) (660,056) (4,710,864) Distributions to shareholders from net realized gains ......... -- -- (13,439,470) (1,288) -- (20,939,645) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ...... (3,327,809) 8,335,246 (57,965,480) 139,274,876 1,360,659 31,811,089 ------------ ----------- ------------ ------------ ----------- ------------ Net increase/(decrease) in net assets .............. (12,876,081) 7,026,102 (193,042,946) 139,290,158 (4,032,481) 13,810,824 NET ASSETS: Beginning of period ........... 156,517,418 21,733,270 754,184,037 124,628,633 36,458,457 257,343,445 ------------ ----------- ------------ ------------ ----------- ------------ End of period ................. $143,641,337 $28,759,372 $561,141,091 $263,918,791 $32,425,976 $271,154,269 ============ =========== ============ ============ =========== ============ Undistributed net investment income/(loss) .............. $ 267,508 $ 1,040,761 $ (1,379,613) $ -- $ (25,063) $ 2,149,222 ============ =========== ============ ============ =========== ============
T. ROWE T. ROWE PRICE PRICE GROWTH INTERNATIONAL STOCK STOCK PORTFOLIO PORTFOLIO ------------ ------------ Net investment income/(loss) .............. $ 103,930 $ 550,594 Net realized gain/(loss) on investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (11,236,230) (1,188,312) Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (10,208,814) (28,554,599) ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............ (21,341,114) (29,192,317) Distributions to shareholders from net investment income .......... -- -- Distributions to shareholders from net realized gains ......... (37,148,258) (33,965,844) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ...... 25,345,211 21,361,486 ------------ ------------ Net increase/(decrease) in net assets .............. (33,144,161) (41,796,675) NET ASSETS: Beginning of period ........... 269,983,288 186,663,738 ------------ ------------ End of period ................. $236,839,127 $144,867,063 ============ ============ Undistributed net investment income/(loss) .............. $ 103,930 $ 179,328 ============ ============
See Notes to Financial Statements. 54-55 STATEMENTS OF CHANGES IN NET ASSETS ENDEAVOR SERIES TRUST FOR THE YEAR ENDED DECEMBER 31, 2000
DREYFUS CAPITAL CAPITAL CAPITAL DREYFUS U.S. ENDEAVOR GUARDIAN GUARDIAN GUARDIAN SMALL CAP GOVERNMENT ASSET GLOBAL U.S. EQUITY VALUE VALUE SECURITIES ALLOCATION PORTFOLIO* PORTFOLIO** PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- ------------ ------------ ------------ ------------ Net investment income/(loss) .............. $ 42,358 $ 32,408 $ 1,403,210 $ (474,500) $ 4,061,372 $ 6,085,901 Net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. 341,314 15,635 12,883,061 62,050,016 257,044 34,316,650 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (9,614,728) 304,492 (6,246,987) (40,300,803) 2,854,524 (62,108,598) ------------ ----------- ------------ ------------ ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............ (9,231,056) 352,535 8,039,284 21,274,713 7,172,940 (21,706,047) Distributions to shareholders from net investment income .......... -- -- (1,793,729) -- (4,743,313) (5,838,631) Distributions to shareholders from net realized gains ......... (4,814,106) -- (28,955,230) (31,946,414) -- (32,107,241) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ...... 23,626,927 33,154,301 (4,589,317) 35,955,065 (11,024,975) (2,940,873) ------------ ----------- ------------ ------------ ------------ ------------ Net increase/(decrease) in net assets .............. 9,581,765 33,506,836 (27,298,992) 25,283,364 (8,595,348) (62,592,792) NET ASSETS: Beginning of period ........... 40,769,874 -- 209,653,282 187,802,743 83,776,857 414,925,798 ------------ ----------- ------------ ------------ ------------ ------------ End of period ................. $ 50,351,639 $33,506,836 $182,354,290 $213,086,107 $ 75,181,509 $352,333,006 ============ =========== ============ ============ ============ ============ Undistributed net investment income/(loss) .............. $ (3,062) $ 32,408 $ 1,401,861 $ -- $ 4,067,791 $ 6,100,801 ============ =========== ============ ============ ============ ============
T. ROWE ENDEAVOR ENDEAVOR ENDEAVOR PRICE ENHANCED ENDEAVOR JANUS MONEY JENNISON EQUITY INDEX HIGH YIELD GROWTH MARKET GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*** PORTFOLIO ------------ ----------- ------------ ------------ ----------- ------------ Net investment income/(loss) .............. $ 868,008 $ 1,683,377 $ (2,551,583) $ 6,621,156 $ 655,600 $ 4,808,979 Net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (3,103,406) (97,376) 18,409,552 1,376 (1,718,545) 20,468,054 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (16,270,141) (2,761,645) (336,644,292) -- (3,781,332) 2,287,644 ------------ ----------- ------------ ------------ ----------- ------------ Net increase/(decrease) in net assets resulting from operations ............ (18,505,539) (1,175,644) (320,786,323) 6,622,532 (4,844,277) 27,564,677 Distributions to shareholders from net investment income .......... (767,531) (1,105,820) -- (6,621,156) (615,554) (4,934,396) Distributions to shareholders from net realized gains ......... (9,775,182) -- -- (4,552) (2,412,034) (22,192,187) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ...... 31,598,967 4,000,043 9,779,254 (10,146,905) (569,320) (7,812,875) ------------ ----------- ------------ ------------ ----------- ------------ Net increase/(decrease) in net assets .............. 2,550,715 1,718,579 (311,007,069) (10,150,081) (8,441,185) (7,374,781) NET ASSETS: Beginning of period ........... 153,966,703 20,014,691 1,065,191,106 134,778,714 44,899,642 264,718,226 ------------ ----------- ------------ ------------ ----------- ------------ End of period ................. $156,517,418 $21,733,270 $754,184,037 $124,628,633 $36,458,457 $257,343,445 ============ =========== ============ ============ =========== ============ Undistributed net investment income/(loss) .............. $ 872,980 $ 1,691,134 $ (138) $ -- $ 660,050 $ 4,891,333 ============ =========== ============ ============ =========== ============
T. ROWE T. ROWE PRICE PRICE GROWTH INTERNATIONAL STOCK STOCK PORTFOLIO PORTFOLIO ------------ ------------ Net investment income/(loss) .............. $ 22,717 $ 316,557 Net realized gain/(loss) on investments sold, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. 36,012,420 33,658,399 Net change in unrealized appreciation/depreciation of investments, futures contracts, forward foreign exchange contracts, foreign currencies and net other assets during the period ................. (37,705,796) (72,607,509) ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............ (1,670,659) (38,632,553) Distributions to shareholders from net investment income .......... (255,091) (325,017) Distributions to shareholders from net realized gains ......... (27,337,593) (22,597,665) Net increase/(decrease) in net assets from Portfolio share transactions (Note 4) ...... 41,367,566 19,564,134 ------------ ------------ Net increase/(decrease) in net assets .............. 12,104,223 (41,991,101) NET ASSETS: Beginning of period ........... 257,879,065 228,654,839 ------------ ------------ End of period ................. $269,983,288 $186,663,738 ============ ============ Undistributed net investment income/(loss) .............. $ -- $ (371,266) ============ ============ - ----------------------- * Effective October 9, 2000, Capital Guardian Trust Company became the investment adviser and the names of the Endeavor Select Portfolio and Endeavor Value Equity Portfolio were changed to Capital Guardian Global Portfolio and Capital Guardian Value Portfolio, respectively. ** The Capital Guardian U.S. Equity Portfolio commenced operations on October 9, 2000. *** Effective October 9, 2000, Jennison Associates LLC became the investment adviser and the name of the Endeavor Opportunity Value Portfolio was changed to Jennison Growth Portfolio.
See Notes to Financial Statements. 56-57 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN GLOBAL PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR PERIOD 06/30/01 ENDED ENDED ENDED (UNAUDITED) 12/31/00** 12/31/99 12/31/98*+++ ----------- ---------- -------- ------------ OPERATING PERFORMANCE: Net asset value, beginning of period .............................. $ 12.06 $ 15.77 $ 10.66 $ 10.00 ------- ------- ------- ------- Net investment income/(loss) ...................................... 0.02 0.02 (0.01) 0.07 Net realized and unrealized gain/(loss) on investments ............ (0.62) (2.37) 5.12 0.59 ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations ...................................... (0.60) (2.35) 5.11 0.66 ------- ------- ------- ------- DISTRIBUTIONS: Distributions from net realized gains ............................. (0.27) (1.36) -- -- ------- ------- ------- ------- Total distributions ............................................... (0.27) (1.36) -- -- ------- ------- ------- ------- Net asset value, end of period .................................... $ 11.19 $ 12.06 $ 15.77 $ 10.66 ======= ======= ======= ======= Total return++ .................................................... (5.10)% (15.42)% 47.84% 6.60% ======= ======= ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) .............................. $42,576 $50,352 $40,770 $24,865 Ratio of net investment income/(loss) to average net assets ....... 0.29%+ 0.08% (0.12)% 0.75%+ Ratio of net expenses to average net assets ....................... 1.31%+ 1.28% 1.48% 1.49%+ Ratio of expenses to average net assets ........................... 1.32%+ 1.30% 1.49% 1.49%+ Ratio of net expenses to average net assets before waivers ........ 1.32%+ 1.30% 1.49% 1.55%+ Portfolio turnover rate ........................................... 33% 303% 157% 128% - ---------------------------------------------- * The Portfolio commenced operations on February 3, 1998. ** Effective October 9, 2000, Capital Guardian Trust Company became the portfolio's adviser and the name of the Endeavor Select Portfolio was changed to Capital Guardian Global Portfolio. + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the monthly average share method which more appropriately presents the per share data for the period since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 58 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED PERIOD 06/30/01 ENDED (UNAUDITED) 12/31/00* ----------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ......................................... $ 10.10 $ 10.00 ------- ------- Net investment income ........................................................ 0.01 0.01 Net realized and unrealized gain/(loss) on investments ....................... (0.07) 0.09 ------- ------- Net increase/(decrease) in net assets resulting from investment operations ... (0.06) 0.10 ------- ------- DISTRIBUTIONS: Distributions from investment income ......................................... (0.01) -- Distributions from net realized gains ........................................ (0.01) -- ------- ------- Total distributions .......................................................... (0.02) -- ------- ------- Net asset value, end of period ............................................... 10.02 10.10 ======= ======= Total return++ ............................................................... (0.60)% 1.00% ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ......................................... $35,751 $33,507 Ratio of net investment income to average net assets ......................... 0.17%+ 0.45%+ Ratio of net expenses to average net assets .................................. 1.12%+ 1.13%+ Portfolio turnover rate ...................................................... 17% 108% - ---------------------------------------- * The Portfolio commenced operations on October 9, 2000. + Annualized. ++ Total return represents aggregate total return for the period indicated.
See Notes to Financial Statements. 59 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST CAPITAL GUARDIAN VALUE PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00* 12/31/99 12/31/98 12/31/97 12/31/96+++ ----------- --------- -------- -------- -------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 17.58 $ 19.99 $ 21.68 $ 20.70 $ 17.21 $ 14.23 -------- -------- -------- -------- -------- -------- Net investment income .................................. 0.09 0.15 0.18 0.22 0.20 0.20 Net realized and unrealized gain/(loss) on investments ...................................... 0.76 0.68 (0.72) 1.36 3.96 3.15 -------- -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations .......................... 0.85 0.83 (0.54) 1.58 4.16 3.35 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ................... (0.14) (0.19) (0.24) (0.22) (0.14) (0.13) Distributions from net realized gains .................. (1.26) (3.05) (0.91) (0.38) (0.53) (0.24) -------- -------- -------- -------- -------- -------- Total distributions .................................... (1.40) (3.24) (1.15) (0.60) (0.67) (0.37) -------- -------- -------- -------- -------- -------- Net asset value, end of period ......................... $ 17.03 $ 17.58 $ 19.99 $ 21.68 $ 20.70 $ 17.21 ======== ======== ======== ======== ======== ======== Total return++ ......................................... 4.67% 5.57% (3.06)% 7.56% 24.81% 23.84% ======== ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $191,229 $182,354 $209,653 $246,102 $216,039 $127,927 ======== ======== ======== ======== ======== ======== Ratio of net investment income to average net assets .................................. 1.02%+ 0.77% 0.77% 1.10% 1.39% 1.29% Ratio of net expenses to average net assets ............ 0.94%+ 0.91% 0.88% 0.84% 0.89% 0.91% Ratio of expenses to average net assets ................ 0.94%+ 0.93% 0.95% 0.85% 0.89% 0.91% Portfolio turnover rate ................................ 26% 85% 51% 19% 16% 27% - --------------------------------------- * Effective October 9, 2000, Capital Guardian Trust Company became the portfolio's adviser and the name of the Endeavor Value Equity Portfolio was changed to Capital Guardian Value Portfolio. + Annualized. ++ Total return represents aggregate total return for the years indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 60 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST DREYFUS SMALL CAP VALUE PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96+++# ----------- -------- -------- -------- -------- ------------ OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 15.62 $ 16.51 $ 14.14 $ 16.41 $ 14.69 $ 12.22 -------- -------- -------- -------- -------- -------- Net investment income/(loss) ........................... (0.02) (0.03) (0.04) (0.03) 0.02 0.12 Net realized and unrealized gain/(loss) on investments ...................................... 4.61 1.87 4.00 (0.13) 3.52 2.95 -------- -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations ................ 4.59 1.84 3.96 (0.16) 3.54 3.07 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ................... -- -- -- (0.02) (0.10) (0.14) Distributions from net realized gains .................. (4.53) (2.73) (1.59) (2.09) (1.72) (0.46) -------- -------- -------- -------- -------- -------- Total distributions .................................... (4.53) (2.73) (1.59) (2.11) (1.82) (0.60) -------- -------- -------- -------- -------- -------- Net asset value, end of period ......................... $ 15.68 $ 15.62 $ 16.51 $ 14.14 $ 16.41 $ 14.69 ======== ======== ======== ======== ======== ======== Total return++ ......................................... 28.46% 11.02% 29.39% (2.18)% 25.56% 25.63% ======== ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $283,797 $213,086 $187,803 $158,662 $146,195 $ 85,803 Ratio of net investment income/(loss) to average net assets ............................... (0.30)%+ (0.23)% (0.28)% (0.23)% 0.20% 0.95% Ratio of net expenses to average net assets ............ 0.90%+ 0.91% 0.90% 0.86% 0.91% 0.92% Ratio of expenses to average net assets ................ 1.17%+ 1.26% 1.22% 0.94% 0.91% 0.92% Portfolio turnover rate ................................ 89% 192% 216% 183% 127% 171% - ------------------------------------------- + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations. # The Dreyfus Corporation became the Portfolio's Adviser effective September 16, 1996.
See Notes to Financial Statements. 61 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96+++ ----------- -------- -------- -------- -------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 11.88 $ 11.53 $ 12.32 $ 11.87 $ 11.23 $ 11.39 -------- -------- -------- -------- -------- -------- Net investment income .................................. 0.19 0.74 0.62 0.40 0.39 0.62 Net realized and unrealized gain/(loss) on investments ...................................... 0.15 0.36 (0.73) 0.46 0.61 (0.44) -------- -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations ................ 0.34 1.10 (0.11) 0.86 1.00 0.18 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ................... (0.58) (0.75) (0.46) (0.41) (0.36) (0.22) Distributions from net realized gains .................. -- -- (0.22) -- -- (0.12) -------- -------- -------- -------- -------- -------- Total distributions .................................... (0.58) (0.75) (0.68) (0.41) (0.36) (0.34) -------- -------- -------- -------- -------- -------- Net asset value, end of period ......................... $ 11.64 $ 11.88 $ 11.53 $ 12.32 $ 11.87 $ 11.23 ======== ======== ======== ======== ======== ======== Total return++ ......................................... 2.89% 10.16% (0.87)% 7.38% 9.15% 1.81% ======== ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $ 87,758 $ 75,182 $ 83,777 $ 82,889 $ 46,542 $ 24,727 Ratio of net investment income to average net assets ............................... 4.77%+ 5.38% 5.52% 5.21% 5.74% 5.68% Ratio of net expenses to average net assets ............ 0.74%+ 0.74% 0.73% 0.72% 0.80% 0.82% Ratio of expenses to average net assets ................ 0.81%+ 0.76% 0.77% 0.73% 0.80% 0.82% Portfolio turnover rate ................................ 472% 1,109% 596% 615% 185% 222% - ----------------------------------------------- + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 62 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST ENDEAVOR ASSET ALLOCATION PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98# 12/31/97 12/31/96 ----------- -------- -------- --------- -------- -------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 19.47 $ 22.89 $ 23.89 $ 22.34 $ 18.84 $ 16.28 -------- -------- -------- -------- -------- -------- Net investment income .................................. 0.19 0.35 0.34 0.43 0.32 0.27 Net realized and unrealized gain/(loss) on investments ...................................... (1.32) (1.60) 4.80 3.50 3.45 2.61 -------- -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations .......................... (1.13) (1.25) 5.14 3.93 3.77 2.88 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ................... (0.37) (0.33) (0.43) (0.32) (0.27) (0.32) Distributions from net realized gains .................. (2.08) (1.84) (5.71) (2.06) -- -- -------- -------- -------- -------- -------- -------- Total distributions .................................... (2.45) (2.17) (6.14) (2.38) (0.27) (0.32) -------- -------- -------- -------- -------- -------- Net asset value, end of period ......................... $ 15.89 $ 19.47 $ 22.89 $ 23.89 $ 22.34 $ 18.84 ======== ======== ======== ======== ======== ======== Total return++ ......................................... (6.11)% (5.93)% 26.39% 18.39% 20.14% 17.82% ======== ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $300,483 $352,333 $414,926 $353,001 $303,102 $240,210 Ratio of net investment income to average net assets .......................................... 1.93%+ 1.50% 1.58% 1.97% 1.61% 1.59% Ratio of net expenses to average net assets ............ 0.88%+ 0.85% 0.84% 0.78% 0.84% 0.85% Ratio of expenses to average net assets ................ 0.95%+ 0.87% 0.87% 0.80% 0.84% 0.85% Portfolio turnover rate ................................ 99% 158% 220% 262% 67% 58% - ------------------------------------------- + Annualized. ++ Total return represents aggregate total return for the periods indicated. # Morgan Stanley Asset Management became the Portfolio's Adviser effective April 1, 1998.
See Notes to Financial Statements. 63 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST ENDEAVOR ENHANCED INDEX PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR PERIOD 06/30/01 ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98 12/31/97* ----------- -------- -------- -------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ..................... $ 15.13 $ 18.16 $ 16.08 $ 12.29 $ 10.00 -------- -------- -------- -------- -------- Net investment income .................................... 0.03 0.07 0.08 0.04 0.02 Net realized and unrealized gain/(loss) on investments ... (0.87) (1.99) 2.78 3.81 2.27 -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations ............................. (0.84) (1.92) 2.86 3.85 2.29 -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ..................... (0.09) (0.08) (0.03) (0.02) -- Distributions from net realized gains .................... -- (1.03) (0.75) (0.04) -- -------- -------- -------- -------- -------- Total distributions ...................................... (0.09) (1.11) (0.78) (0.06) -- -------- -------- -------- -------- -------- Net asset value, end of period ........................... $ 14.20 $ 15.13 $ 18.16 $ 16.08 $ 12.29 ======== ======== ======== ======== ======== Total return++ ........................................... (5.60)% (10.92)% 18.16% 31.39% 22.90% ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ..................... $143,641 $156,517 $153,967 $ 64,058 $ 19,811 Ratio of net investment income to average net assets ..... 0.37%+ 0.53% 0.73% 0.48% 0.55%+ Ratio of net expenses to average net assets .............. 0.89%+ 0.87% 0.78% 1.10% 1.30%+ Ratio of net expenses to average net assets before waivers 0.89%+ 0.87% 0.78% 1.10% 1.56%+ Portfolio turnover rate .................................. 14% 68% 56% 78% 6% - ------------------------------------------- * The Portfolio commenced operations on May 2, 1997. + Annualized. ++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements. 64 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST ENDEAVOR HIGH YIELD PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR PERIOD 06/30/01 ENDED ENDED ENDED (UNAUDITED)+++ 12/31/00 12/31/99 12/31/98* -------------- -------- -------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ..................... $ 9.06 $ 10.09 $ 9.69 $ 10.00 ------- ------- ------- ------- Net investment income .................................... 0.36 0.68 0.47 0.25 Net realized and unrealized gain/(loss) on investments ... (0.51) (1.18) 0.09 (0.56) ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations ............................. (0.15) (0.50) 0.56 (0.31) ------- ------- ------- ------- DISTRIBUTIONS: Dividends from net investment income ..................... (0.11) (0.53) (0.16) -- ------- ------- ------- ------- Total distributions ...................................... (0.11) (0.53) (0.16) -- ------- ------- ------- ------- Net asset value, end of period ........................... $ 8.80 $ 9.06 $ 10.09 $ 9.69 ======= ======= ======= ======= Total return++ ........................................... 2.62% (5.18)% 5.82% (3.10)% ======= ======= ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ..................... $28,759 $21,733 $20,015 $ 9,819 Ratio of net investment income to average net assets ..... 7.77%+ 7.87% 7.07% 6.43%+ Ratio of net expenses to average net assets .............. 1.08%+ 1.13% 1.22% 1.30%+ Ratio of expenses to average net assets .................. 1.11%+ 1.14% 1.25% 1.43%+ Ratio of net expenses to average net assets before waivers 1.11%+ 1.14% 1.27% 1.58%+ Portfolio turnover rate .................................. 20% 57% 77% 26% - --------------------------------------- * The Portfolio commenced operations on June 1, 1998. + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 65 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST ENDEAVOR JANUS GROWTH PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR PERIOD 06/30/01 ENDED ENDED (UNAUDITED) 12/31/00 12/31/99* ----------- -------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ..................................... $ 67.34 $ 95.37 $ 69.88 -------- -------- ---------- Net investment loss ...................................................... (0.14) (0.23) (0.04) Net realized and unrealized gain/(loss) on investments ................... (10.84) (27.80) 25.53 -------- -------- ---------- Net increase/(decrease) in net assets resulting from investment operations (10.98) (28.03) 25.49 -------- -------- ---------- DISTRIBUTIONS: Dividends from net investment income ..................................... (1.33) -- -- -------- -------- ---------- Total distributions ...................................................... (1.33) -- -- -------- -------- ---------- Net asset value, end of period ........................................... $ 55.03 $ 67.34 $ 95.37 ======== ======== ========== Total return++ ........................................................... (16.45)% (29.39)% 36.48% ======== ======== ========== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ..................................... $561,141 $754,184 $1,065,191 Ratio of net investment loss to average net assets ....................... (0.44)%+ (0.24)% (0.09)%+ Ratio of net expenses to average net assets .............................. 0.88%+ 0.85% 0.83%+ Ratio of net expenses to average net assets before waivers ............... 0.92%+ 0.86% 0.83%+ Portfolio turnover rate .................................................. 29% 46% 43% - ------------------------------------------ * The Portfolio commenced operations on May 1, 1999. + Annualized. ++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements. 66 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST ENDEAVOR MONEY MARKET PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98# 12/31/97 12/31/96 ----------- -------- -------- --------- -------- -------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- ------- ------- Net investment income .................................. 0.0231 0.0579 0.0465 0.0485 0.0498 0.0479 -------- -------- -------- -------- ------- ------- DISTRIBUTIONS: Dividends from net investment income ................... (0.0231) (0.0579) (0.0465) (0.0485) (0.0498) (0.0479) Distributions from net realized gains .................. 0.0000+++ -- -- -- -- -- -------- -------- -------- -------- ------- ------- Total distributions .................................... (0.0231) (0.0579) (0.0465) (0.0485) (0.0498) (0.0479) -------- -------- -------- -------- ------- ------- Net asset value, end of period ......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======= ======= Total return++ ......................................... 2.33% 5.95% 4.75% 4.96% 5.07% 4.91% ======== ======== ======== ======== ======= ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $263,919 $124,629 $134,779 $100,932 $51,162 $41,545 Ratio of net investment income to average net assets .................................. 4.53%+ 5.79% 4.67% 4.92% 4.99% 4.81% Ratio of net expenses to average net assets ............ 0.57%+ 0.60% 0.55% 0.60% 0.60% 0.60% Ratio of expenses to average net assets ................ 0.58%+ 0.60% 0.55% 0.60% 0.60% 0.60% - ------------------------------------------- + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Amount rounds to less than $0.0001 per share. # Morgan Stanley Asset Management became the Portfolio's Adviser effective April 1, 1998.
See Notes to Financial Statements. 67 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST JENNISON GROWTH PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR PERIOD 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00** 12/31/99 12/31/98 12/31/97 12/31/96* ----------- ---------- -------- -------- -------- --------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 10.30 $ 12.56 $ 12.22 $ 11.75 $ 10.06 $10.00 ------- ------- ------- ------- ------- ----- Net investment income/(loss) ........................... (0.01) 0.20 0.18 0.11 0.07 -- Net realized and unrealized gain/(loss) on investments ...................................... (1.33) (1.56) 0.41 0.50 1.62 0.06 ------- ------- ------- ------- ------- ----- Net increase/(decrease) in net assets resulting from investment operations ................ (1.34) (1.36) 0.59 0.61 1.69 0.06 ------- ------- ------- ------- ------- ----- DISTRIBUTIONS: Dividends from net investment income ................... -- (0.18) (0.13) (0.05) -- -- Distributions from net realized gains .................. (0.18) (0.72) (0.12) (0.09) -- -- ------- ------- ------- ------- ------- ----- Total distributions .................................... (0.18) (0.90) (0.25) (0.14) -- -- ------- ------- ------- ------- ------- ----- Net asset value, end of period ......................... $ 8.78 $ 10.30 $ 12.56 $ 12.22 $ 11.75 $10.06 ======= ======= ======= ======= ======= ===== Total return++ ......................................... (13.10)% (11.58)% 4.79% 5.18% 16.81% 0.60% ======= ======= ======= ======= ======= ===== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $32,426 $36,458 $44,900 $45,506 $26,802 $ 701 Ratio of net investment income/(loss) to average net assets ............................... (0.15)%+ 1.60% 1.34% 1.22% 1.34% (1.09)%+ Ratio of net expenses to average net assets ............ 0.99%+ 0.93% 0.85% 0.98% 1.15% 1.30%+ Ratio of expenses to average net assets ................ 1.00%+ 1.00% 0.91% 1.00% 1.15% 1.30%+ Ratio of net expenses to average net assets before waivers ...................................... 1.00%+ 1.00% 0.91% 1.00% 1.16% 12.69%+ Portfolio turnover rate ................................ 51% 166% 48% 43% 44% 0% - ------------------------------------------- * The Portfolio commenced operations on November 18, 1996. ** Effective October 9, 2000, Jennison Associates LLC became the portfolio's adviser and the name of the Endeavor Opportunity Value Portfolio was changed to Jennison Growth Portfolio. + Annualized. ++ Total return represents aggregate total return for the periods indicated.
See Notes to Financial Statements. 68 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST T. ROWE PRICE EQUITY INCOME PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96+++ ----------- -------- -------- -------- -------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 19.52 $ 19.50 $ 20.04 $ 19.34 $ 15.49 $ 13.05 -------- -------- -------- -------- -------- ------- Net investment income .................................. 0.12 0.39 0.38 0.35 0.25 0.41 Net realized and unrealized gain on investments ...................................... 0.50 1.78 0.42 1.33 4.06 2.17 -------- -------- -------- -------- -------- ------- Net increase in net assets resulting from investment operations .......................... 0.62 2.17 0.80 1.68 4.31 2.58 -------- -------- -------- -------- -------- ------- DISTRIBUTIONS: Dividends from net investment income ................... (0.35) (0.39) (0.40) (0.28) (0.19) (0.10) Distributions from net realized gains .................. (1.56) (1.76) (0.94) (0.70) (0.27) (0.04) -------- -------- -------- -------- -------- ------- Total distributions .................................... (1.91) (2.15) (1.34) (0.98) (0.46) (0.14) -------- -------- -------- -------- -------- ------- Net asset value, end of period ......................... $ 18.23 $ 19.52 $ 19.50 $ 20.04 $ 19.34 $ 15.49 ======== ======== ======== ======== ======== ======= Total return++ ......................................... 2.96% 12.31% 3.47% 8.81% 28.27% 19.88% ======== ======== ======== ======== ======== ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $271,154 $257,343 $264,718 $262,328 $197,228 $78,251 Ratio of net investment income to average net assets .................................. 1.51%+ 1.98% 1.89% 2.18% 2.47% 2.89% Ratio of net expenses to average net assets ............ 0.89%+ 0.90% 0.87% 0.85% 0.94% 0.96% Ratio of expenses to average net assets ................ 0.89%+ 0.90% 0.88% 0.85% 0.94% 0.96% Portfolio turnover rate ................................ 5% 38% 35% 20% 23% 19% - ------------------------------------ + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the average share method which more appropriately presents the per share data for the periods since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 69 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST T. ROWE PRICE GROWTH STOCK PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96+++ ----------- -------- -------- -------- -------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 25.62 $ 28.73 $ 25.60 $ 20.78 $ 16.29 $ 13.72 -------- -------- -------- -------- -------- ------- Net investment income .................................. 0.01 0.00* 0.03 0.06 0.04 0.11 Net realized and unrealized gain/(loss) on investments ...................................... (1.84) (0.15) 5.28 5.76 4.59 2.71 -------- -------- -------- -------- -------- ------- Net increase/(decrease) in net assets resulting from investment operations .......................... (1.83) (0.15) 5.31 5.82 4.63 2.82 -------- -------- -------- -------- -------- ------- DISTRIBUTIONS: Dividends from net investment income ................... -- (0.03) (0.07) (0.05) (0.03) (0.01) Distributions from net realized gains .................. (3.71) (2.93) (2.11) (0.95) (0.11) (0.24) -------- -------- -------- -------- -------- ------- Total distributions .................................... (3.71) (2.96) (2.18) (1.00) (0.14) (0.25) -------- -------- -------- -------- -------- ------- Net asset value, end of period ......................... $ 20.08 $ 25.62 $ 28.73 $ 25.60 $ 20.78 $ 16.29 ======== ======== ======== ======== ======== ======= Total return++ ......................................... (7.65)% (0.51)% 22.19% 28.67% 28.57% 20.77% ======== ======== ======== ======== ======== ======= RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) ................... $236,839 $269,983 $257,879 $194,301 $123,230 $59,732 Ratio of net investment income to average net assets ............................... 0.09%+ 0.01% 0.21% 0.43% 0.38% 0.75% Ratio of net expenses to average net assets ............ 0.91%+ 0.90% 0.87% 0.87% 0.96% 1.01% Ratio of expenses to average net assets ................ 0.92%+ 0.91% 0.88% 0.87% 0.96% 1.01% Portfolio turnover rate ................................ 32% 80% 66% 58% 41% 44% - ---------------------------------- * Amount rounds to less than $0.005 per share. + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the monthly average share method which more appropriately presents the per share data for the periods since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 70 FINANCIAL HIGHLIGHTS ENDEAVOR SERIES TRUST T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 06/30/01 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/00 12/31/99 12/31/98+++ 12/31/97 12/31/96+++ ----------- -------- -------- ----------- -------- ----------- OPERATING PERFORMANCE: Net asset value, beginning of period ................... $ 15.18 $ 20.88 $ 16.19 $ 14.21 $ 13.95 $ 12.19 -------- -------- -------- -------- -------- -------- Net investment income .................................. 0.04 0.03 0.10 0.12 0.10 0.09 Net realized and unrealized gain/(loss) on investments .......................... (2.33) (3.68) 5.02 2.08 0.26 1.76 -------- -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from investment operations .......................... (2.29) (3.65) 5.12 2.20 0.36 1.85 -------- -------- -------- -------- -------- -------- DISTRIBUTIONS: Dividends from net investment income ................... -- (0.03) (0.26) (0.11) (0.10) (0.09) Distributions from net realized gains .................. (2.96) (2.02) (0.17) (0.11) -- -- -------- -------- -------- -------- -------- -------- Total distributions .................................... (2.96) (2.05) (0.43) (0.22) (0.10) (0.09) -------- -------- -------- -------- -------- -------- Net asset value, end of period ......................... $ 9.93 $ 15.18 $ 20.88 $ 16.19 $ 14.21 $ 13.95 ======== ======== ======== ======== ======== ======== Total return++ ......................................... (16.48)% (18.26)% 32.35% 15.44% 2.54% 15.23% ======== ======== ======== ======== ======== ======== RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000's) ...................... $144,867 $186,664 $228,655 $184,856 $164,560 $134,435 Ratio of net investment income to average net assets ............................... 0.67%+ 0.15% 0.73% 0.76% 0.74% 0.73% Ratio of net expenses to average net assets ............ 1.01%+ 0.98% 0.91% 0.98% 1.07% 1.18% Ratio of expenses to average net assets ................ 1.10%+ 1.07% 1.00% 1.10% 1.12% 1.18% Portfolio turnover rate ................................ 13% 63% 30% 21% 19% 11% - ---------------------------------- + Annualized. ++ Total return represents aggregate total return for the periods indicated. +++ Per share amounts have been calculated using the monthly average share method which more appropriately presents the per share data for the year since use of the undistributed method did not accord with results of operations.
See Notes to Financial Statements. 71 NOTES TO FINANCIAL STATEMENTS ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES Endeavor Series Trust (the "Trust") was organized as a Massachusetts business trust on November 18, 1988 under the laws of the Commonwealth of Massachusetts. The Trust is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The Trust offers fourteen managed investment portfolios: Capital Guardian Global Portfolio, Capital Guardian U.S. Equity Portfolio, Capital Guardian Value Portfolio, Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Enhanced Index Portfolio, Endeavor High Yield Portfolio, Endeavor Janus Growth Portfolio, Endeavor Money Market Portfolio, Jennison Growth Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio and T. Rowe Price International Stock Portfolio (each a "Portfolio" and collectively the "Portfolios"). The following is a summary of significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. PORTFOLIO VALUATION: CAPITAL GUARDIAN GLOBAL PORTFOLIO, CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO, CAPITAL GUARDIAN VALUE PORTFOLIO, DREYFUS SMALL CAP VALUE PORTFOLIO, DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO, ENDEAVOR ASSET ALLOCATION PORTFOLIO, ENDEAVOR ENHANCED INDEX PORTFOLIO, ENDEAVOR HIGH YIELD PORTFOLIO, ENDEAVOR JANUS GROWTH PORTFOLIO, JENNISON GROWTH PORTFOLIO, T. ROWE PRICE EQUITY INCOME PORTFOLIO, T. ROWE PRICE GROWTH STOCK PORTFOLIO AND T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO. Generally, a Portfolio's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value as determined by or under the direction of the Board of Trustees. Portfolio securities for which the primary market is a domestic or foreign exchange, or which are traded over-the-counter and quoted on the NASDAQ System, are valued at the last sale price on the day of valuation or, if there was no sale that day, at the last reported bid price using prices as of the close of trading. Portfolio securities not quoted on the NASDAQ System that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed to be over-the-counter, are valued at the most recently quoted bid price provided by the principal market makers. In the case of any securities which are not actively traded, such investments are stated at fair value as determined under the direction of the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost. Foreign securities traded outside the United States are generally valued as of the time their trading is complete, which is usually different from the close of the New York Stock Exchange. Occasionally, events affecting the value of such securities may occur between such times and the close of the New York Stock Exchange that will not be reflected in the computation of a Portfolio's net asset value. If events materially affecting the value of such securities occur during such period, these securities will be valued at their fair value according to procedures decided upon in good faith by the Trust's Board of Trustees. All securities and other assets of a Portfolio initially expressed in foreign currencies will be converted to U.S. dollar values at the mean of the bid and offer prices of such currencies against U.S. dollars last quoted on a valuation date by any recognized dealer. ENDEAVOR MONEY MARKET PORTFOLIO: Endeavor Money Market Portfolio's investments are valued on the basis of amortized cost under the guidance of the Board of Trustees, based on their determination that this constitutes fair value. Amortized cost involves valuing a portfolio instrument at its cost initially and, thereafter, assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the instrument. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 72 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Interest income is not accrued until settlement date. FUTURES CONTRACTS: Certain of the Portfolios may engage in futures contracts for the purpose of hedging against a decline in the value of the portfolio securities held or a rise in the price of the securities a Portfolio intends to purchase, or in order to maintain liquidity. Upon entering into a futures contract, a Portfolio is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Portfolio each day, depending on the daily fluctuation of the value of the contract. The daily changes in the contract are recorded as unrealized gain or loss. A Portfolio recognizes a realized gain or loss when the contract is closed. The change in net unrealized appreciation/depreciation, if any, is shown in the Statement of Operations. There are several risks in connection with the use of futures contracts as a hedging device. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that a Portfolio may not be able to enter into a closing transaction because of an illiquid secondary market. Financial future contracts open at June 30, 2001 were as follows:
NUMBER OF NOTIONAL CONTRACTS COST EXPIRATION UNREALIZED PURCHASED/(SOLD) DESCRIPTION AMOUNT DATE GAIN/(LOSS) --------------- ------------------------------------ ----------- -------------- ------------- Dreyfus U.S. Government (29) 10 Year U.S. Treasury Bond contracts $ 2,987,453 September 2001 $ 1,802 Securities Portfolio (91) 5 Year U.S. Treasury Note contracts 9,404,281 September 2001 19,481 19 U.S. Long Bond contracts 1,924,938 September 2001 8,970 Endeavor Asset (25) 10 Year U.S. Treasury Bond contracts 2,579,295 September 2001 46,484 Allocation Portfolio (2) 5 Year U.S. Treasury Note contracts 207,031 September 2001 1,781 (101) U.S. Long Bond contracts 10,144,188 September 2001 (95,382) Endeavor Enhanced Index Portfolio 4 S&P 500 Index contracts 1,231,500 September 2001 (27,461)
OPTIONS: Certain of the Portfolios may purchase or write options which are exchange traded to hedge fluctuation risks in the prices of certain securities. When a Portfolio writes a call or put option, an amount equal to the premium received is reflected as a liability. The liability is subsequently "marked-to-market" to reflect the current market value of the option written. The premium paid by a Portfolio for the purchase of a call or put option is recorded as an investment and subsequently "marked-to-market" to reflect the current market value of the option purchased. A Portfolio is subject to the risk of an imperfect correlation between movement in the price of the instrument and the price of the underlying security or transaction. Risks may also arise due to illiquid secondary markets for the instruments. Transactions in options written during the six months ended June 30, 2001 for Dreyfus U.S. Government Securities Portfolio were as follows: NUMBER OF PREMIUMS CONTRACTS RECEIVED --------- ----------- Options written outstanding at December 31, 2000 ...... 38,150 $ 58,230 Options written during the year ....................... -- -- Options terminated in closing purchasing transactions . (38,150) (58,230) Options expired during the year ....................... -- -- ------- -------- Options written outstanding at June 30, 2001 .......... -- $ -- ======= ======== 73 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) FORWARD FOREIGN CURRENCY CONTRACTS: Capital Guardian Global Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor High Yield Portfolio, Endeavor Janus Growth Portfolio, Jennison Growth Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio and T. Rowe Price International Stock Portfolio may engage in forward foreign currency exchange contracts. A Portfolio engages in forward foreign currency exchange transactions to protect against changes in future exchange rates. Forward foreign currency exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Portfolio as an unrealized gain or loss. When the contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of a Portfolio's securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, a Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Capital Guardian Global Portfolio had the following open forward foreign currency contracts as of June 30, 2001:
SETTLEMENT LOCAL CURRENT NET UNREALIZED SELL CONTRACTS DATE VALUE VALUE APPRECIATION/(DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------- Canadian Dollar 9/04/01 335,718 $221,832 $ (2,829) Canadian Dollar 9/28/01 197,461 $130,423 (520) European Currency Unit 7/11/01 95,764 $ 81,399 3,652 European Currency Unit 9/04/01 242,362 $205,800 9,643 Hong Kong Dollar 7/11/01 662,352 $ 85,005 287 Japanese Yen 7/18/01 14,137,482 $113,681 2,132 Japanese Yen 8/20/01 16,792,940 $135,535 15,466 Japanese Yen 8/27/01 35,647,435 $287,922 24,034 Japanese Yen 8/31/01 2,357,635 $ 19,050 1,002 Japanese Yen 9/25/01 9,719,686 $ 78,729 1,488 Japanese Yen 3/18/02 31,130,506 $257,014 7,340 Japanese Yen 3/28/02 64,874,153 $536,201 2,622 United Kingdom Pound 7/26/01 354,291 $500,936 13,952 United Kingdom Pound 8/13/01 31,672 $ 44,748 288 United Kingdom Pound 3/26/02 42,894 $ 60,069 (291) ------- $78,266 ======= SETTLEMENT LOCAL CURRENT NET UNREALIZED BUY CONTRACTS DATE VALUE VALUE APPRECIATION/(DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------- Canadian Dollar 9/04/01 335,724 $221,832 $ 6,389 European Currency Unit 7/11/01 94,197 $ 80,068 (5,224) European Currency Unit 7/18/01 129,757 $110,278 (5,532) European Currency Unit 7/26/01 555,367 $471,928 (42,960) European Currency Unit 8/13/01 50,898 $ 43,255 (1,780) European Currency Unit 8/20/01 164,07 $139,364 (11,637) European Currency Unit 8/27/01 344,792 $292,813 (19,143) European Currency Unit 8/31/01 23,672 $ 20,102 50 European Currency Unit 9/04/01 239,298 $203,205 (15,798) European Currency Unit 9/28/01 266,031 $225,832 (7,727) European Currency Unit 3/18/02 306,469 $259,938 (4,416) European Currency Unit 3/26/02 69,836 $ 59,234 (544) European Currency Unit 3/28/02 624,304 $529,531 (9,292) Hong Kong Dollar 7/11/01 662,354 $ 85,006 (44) Swiss Franc 9/25/01 142,256 $ 79,501 (715) --------- $(118,373) =========
74 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) Endeavor Janus Growth Portfolio had the following open forward foreign currency contracts as of June 30, 2001:
SETTLEMENT LOCAL CURRENT NET UNREALIZED SELL CONTRACTS DATE VALUE VALUE APPRECIATION/(DEPRECIATION) - --------------------------------------------------------------------------------------------- Japanese Yen 10/26/01 184,806,370 $1,500,421 $ 70,060 Japanese Yen 11/09/01 939,032,187 $7,642,649 226,113 -------- $296,173 ========
FOREIGN CURRENCY: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investment securities, and items of income and expense, are translated on the respective dates of such transactions. Unrealized gains and losses which result from changes in foreign currency exchange rates have been included in the unrealized appreciation/(depreciation) of investments and net other assets. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gains and losses on investment securities sold. REPURCHASE AGREEMENTS: The Portfolios may enter into repurchase agreements with a bank, broker-dealer or other financial institution, which are secured by obligations of the U.S. government. Each repurchase agreement is at least 100% collateralized. However, in the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral may be subject to certain costs, losses or delays. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends, if any, from net investment income of all Portfolios except Endeavor Money Market Portfolio are declared and paid at least annually. Dividends from net investment income of Endeavor Money Market Portfolio are declared daily and paid monthly. For all Portfolios, all net realized long-term or short-term capital gains, if any, will be declared and distributed at least annually. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income, gains and losses on various investment securities held by a Portfolio, timing differences in the recognition of income, gains and losses and differing characterizations of distributions made by the Portfolios. FEDERAL INCOME TAXES: The Trust intends that each Portfolio separately qualify annually as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and by distributing substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. 2. INVESTMENT MANAGEMENT FEE, ADMINISTRATIVE FEE, INVESTMENT ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS The Trust is managed by Endeavor Management Co. (the "Investment Manager") pursuant to a management agreement. The Investment Manager is responsible for providing investment management and administrative services to the Trust, including selecting the investment advisers (the "Advisers") for the Trust's Portfolios. As compensation for these services, the Trust pays the Investment Manager a monthly fee based on a percentage of the average daily net assets of each Portfolio at the following annual rates: Capital Guardian Global Portfolio--1.05% on the first $150 million; 1.00% on assets over $150 million up to $300 million; .95% on assets over $300 million up to $500 million; and .925% on assets over $500 million; Capital Guardian U.S. Equity Portfolio--.85% on the first $300 million; .80% on assets over $300 million up to $500 million; .775% on assets over $500 million; Capital Guardian Value Portfolio--.85% on the first $300 million; .80% on assets over $300 million up to $500 million; and .775% on assets over 75 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) $500 million; Dreyfus Small Cap Value Portfolio--.80%; Dreyfus U.S. Government Securities Portfolio--.65%; Endeavor Asset Allocation Portfolio--.75%; Endeavor Enhanced Index Portfolio--.75%; Endeavor High Yield Portfolio--.775%; Endeavor Janus Growth Portfolio--.80%; Endeavor Money Market Portfolio--.50%; Jennison Growth Portfolio--.85%; T. Rowe Price Equity Income Portfolio--.80%, T. Rowe Price Growth Stock Portfolio--.80%; T. Rowe Price International Stock Portfolio--.90%. For Endeavor Janus Growth Portfolio, the Investment Manager voluntarily agreed to limit its annual fee to .775% of the Portfolio's average daily net assets for the period January 1, 2000 until April 30, 2000. For Capital Guardian Global Portfolio, the Investment Manager reduced its annual fee from 1.10% of the Portfolio's average daily net assets, effective May 1, 2000. At June 30, 2001, the Trust had a liability for investment management fees payable to the Investment Manager of $1,692,964. From the management fees, the Investment Manager pays the expenses of providing investment advisory services to the Portfolios, including the fees of the Adviser of each Portfolio. Capital Guardian Trust Company ("Capital Guardian") serves as Adviser to Capital Guardian Global Portfolio, Capital Guardian U.S. Equity Portfolio and Capital Guardian Value Portfolio. The Dreyfus Corporation ("Dreyfus"), a wholly-owned subsidiary of Mellon Bank, N.A., which is a wholly-owned subsidiary of Mellon Bank serves as the Adviser to Dreyfus Small Cap Value Portfolio and Dreyfus U.S. Government Securities Portfolio. Morgan Stanley Dean Witter Investment Management Inc. ("Morgan Stanley"), a subsidiary of Morgan Stanley Dean Witter & Co., serves as the Adviser to Endeavor Asset Allocation Portfolio and Endeavor Money Market Portfolio. J.P. Morgan Investment Management Inc. ("Morgan"), a wholly-owned subsidiary of J.P. Morgan and Co. Incorporated, serves as the Adviser to Endeavor Enhanced Index Portfolio. Massachusetts Financial Services Company ("MFS"), a subsidiary of Sun Life Assurance Company of Canada (U.S.), serves as the Adviser to Endeavor High Yield Portfolio. Janus Capital Corporation ("Janus Capital") serves as the Adviser to Endeavor Janus Growth Portfolio. Jennison Associates LLC ("Jennison") serves as the Adviser to Jennison Growth Portfolio. T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as the Adviser to T. Rowe Price Equity Income Portfolio and T. Rowe Price Growth Stock Portfolio. T. Rowe Price International, Inc. ("T. Rowe Price International"), serves as the Adviser to T. Rowe Price International Stock Portfolio. PFPC, Inc. ("PFPC"), a wholly-owned subsidiary of PNCBank, assists the Manager in the performance of its administrative responsibilities to the Trust. As compensation for these services, PFPC receives a flat fee of $810,000 per annum. In addition, if the aggregate net assets of the fourteen portfolios exceed $1 billion, PFPC shall also be entitled to receive an additional fee of 0.01% of any net assets in excess of $1 billion. PFPC also serves as the Trust's transfer agent. PFPC's fees are pro-rated among the Portfolios based upon relative net assets. Boston Safe Deposit and Trust Company, an indirect wholly-owned subsidiary of Mellon Bank Corporation, serves as the Trust's custodian. Boston Safe Deposit and Trust Company has agreed to compensate the Portfolios and decrease custody fees for cash balances left uninvested by each Portfolio. For the six months ended June 30, 2001, the Fund's custodial expenses were reduced by $154,370. For the six months ended June 30, 2001 the Trust incurred total brokerage commissions of $1,995,531. The Trust has asked the Advisers to direct certain portfolio trades, subject to obtaining the best price and execution, to brokers who have agreed to share the brokerage commissions with the Trust's distributor. The recaptured commissions are used solely to promote the marketing of the Trust's shares. For the six months ended June 30, 2001, the recaptured commissions amount to as follows: Dreyfus Small Cap Value Portfolio--$343,092, Endeavor Asset Allocation Portfolio--$102,592, Endeavor Janus Growth Portfolio--$130,391 and T. Rowe Price Growth Portfolio--$7,155. 76 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) No director, officer or employee of the Investment Manager, the Advisers or PFPC received any compensation from the Trust for serving as an officer or Trustee of the Trust. The Trust pays each Trustee who is not a director, officer or employee of the Investment Manager, the Advisers, PFPC or any of their affiliates $18,000 per annum plus $2,500 per Board meeting, $1,000 per telephone board meeting and $500 per Committee meeting attended and reimburses them for travel and out-of-pocket expenses. 3. PURCHASES AND SALES OF SECURITIES Purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended June 30, 2001 were as follows:
PURCHASES SALES --------------------------- ---------------------------- U.S. U.S. GOVERNMENT OTHER GOVERNMENT OTHER ---------- ----- ---------- ----- Capital Guardian Global Portfolio ................. -- $ 8,552,955 -- $ 11,870,274 Capital Guardian U.S. Equity Portfolio ............ -- 9,279,175 -- 7,738,441 Capital Guardian Value Portfolio .................. -- 46,035,841 -- 52,771,521 Dreyfus Small Cap Value Portfolio ................. -- 232,518,686 -- 223,357,339 Dreyfus U.S. Government Securities Portfolio ...... $283,163,720 75,413,071 $258,732,210 73,385,618 Endeavor Asset Allocation Portfolio ............... 201,688 250,288,102 6,258 252,665,197 Endeavor Enhanced Index Portfolio ................. 11,889,747 33,914,756 12,604,474 37,381,995 Endeavor High Yield Portfolio ..................... -- 10,865,578 -- 4,445,487 Endeavor Janus Growth Portfolio ................... -- 171,872,939 -- 226,350,982 Jennison Growth Portfolio ......................... -- 18,455,258 -- 16,439,674 T. Rowe Price Equity Income Portfolio ............. -- 31,302,470 -- 20,437,019 T. Rowe Price Growth Stock Portfolio .............. -- 75,758,083 -- 84,988,546 T. Rowe Price International Stock Portfolio ....... -- 50,668,681 -- 53,792,500
4. SHARES OF BENEFICIAL INTEREST The Trust has authorized an unlimited number of shares of beneficial interest without par value of one or more series. Shares of the Trust are presently divided into fourteen series of shares, each series representing one of the Trust's fourteen Portfolios. Since Endeavor Money Market Portfolio has sold shares, issued shares as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown below for such transactions. Changes in shares of beneficial interest were as follows:
SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 ----------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ------------ ---------- ------------ CAPITAL GUARDIAN GLOBAL PORTFOLIO: Sold .............................. 2,746,773 $ 32,150,489 3,772,098 $ 54,373,771 Issued as reinvestment of dividends 83,371 985,448 373,766 4,814,106 Redeemed .......................... (3,200,855) (37,492,322) (2,555,009) (35,560,950) ---------- ------------ ---------- ------------ Net increase/(decrease) ........... (370,711) $ (4,356,385) 1,590,855 $ 23,626,927 ========== ============ ========== ============
SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00# --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT ---------- ------------ ---------- ------------ CAPITAL GUARDIAN U.S. EQUITY PORTFOLIO: Sold ....................................... 666,148 $ 6,687,457 228,817 $ 2,257,360 Conversion proceeds from PFL Target Accounts -- -- 3,270,727 32,707,272 Issued as reinvestment of dividends ........ 6,404 66,343 -- -- Redeemed ................................... (421,459) (4,188,794) (183,134) (1,810,331) -------- ----------- ---------- ------------ Net increase ............................... 251,093 $ 2,565,006 3,316,410 $ 33,154,301 ======== =========== ========== ============
77 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED)
SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ CAPITAL GUARDIAN VALUE PORTFOLIO: Sold .............................. 960,393 $ 16,923,294 470,560 $ 8,001,105 Issued as reinvestment of dividends 837,095 14,381,296 1,898,084 30,748,959 Redeemed .......................... (941,501) (16,630,630) (2,479,708) (43,339,381) -------- ------------ ---------- ------------ Net increase/(decrease) ........... 855,987 $ 14,673,960 (111,064) $ (4,589,317) ======== ============ ========== ============ SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ DREYFUS SMALL CAP VALUE PORTFOLIO: Sold .............................. 3,381,769 $ 59,113,493 7,694,000 $ 124,759,605 Issued as reinvestment of dividends 3,795,856 61,530,832 2,029,632 31,946,414 Redeemed .......................... (2,723,673) (49,382,030) (7,458,517) (120,750,954) ---------- ------------ ---------- ------------- Net increase ...................... 4,453,952 $ 71,262,295 2,265,115 $ 35,955,065 ========== ============ ========== ============= SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ DREYFUS U.S. GOVERNMENT SECURITIES PORTFOLIO: Sold .............................. 1,611,677 $ 19,353,203 825,800 $ 9,534,402 Issued as reinvestment of dividends 351,583 4,067,818 436,769 4,743,313 Redeemed .......................... (754,179) (9,042,780) (2,197,192) (25,302,690) ---------- ------------ ---------- ------------ Net increase/(decrease) ........... 1,209,081 $ 14,378,241 (934,623) $(11,024,975) ========== ============ ========== ============ SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ ENDEAVOR ASSET ALLOCATION PORTFOLIO: Sold .............................. 678,385 $ 12,087,028 1,230,051 $ 27,137,145 Issued as reinvestment of dividends 2,501,060 40,742,271 1,847,413 37,945,873 Redeemed .......................... (2,365,061) (42,517,116) (3,105,970) (68,023,891) ---------- ------------ ---------- ------------ Net increase/(decrease) ........... 814,384 $ 10,312,183 (28,506) $ (2,940,873) ========== ============ ========== ============ SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ ENDEAVOR ENHANCED INDEX PORTFOLIO: Sold .............................. 828,599 $ 11,985,280 2,980,939 $ 50,668,882 Issued as reinvestment of dividends 58,866 872,983 651,992 10,542,714 Redeemed .......................... (1,119,597) (16,186,072) (1,766,809) (29,612,629) ---------- ------------ ---------- ------------ Net increase/(decrease) ........... (232,132) $ (3,327,809) 1,866,122 $ 31,598,967 ========== ============ ========== ============ SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ ENDEAVOR HIGH YIELD PORTFOLIO: Sold .............................. 1,622,645 $ 15,393,691 957,161 $ 9,295,108 Issued as reinvestment of dividends 186,895 1,691,398 116,525 1,105,820 Redeemed .......................... (941,431) (8,749,843) (657,328) (6,400,885) ---------- ------------ -------- ----------- Net increase ...................... 868,109 $ 8,335,246 416,358 $ 4,000,043 ========== ============ ======== ============
78 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED)
SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ ENDEAVOR JANUS GROWTH PORTFOLIO: Sold .............................. 337,698 $ 20,976,896 1,734,784 $ 162,546,775 Issued as reinvestment of dividends 226,482 13,439,470 -- -- Redeemed .......................... (1,565,513) (92,381,846) (1,704,316) (152,767,521) ---------- ------------ ---------- ------------- Net increase/(decrease) ........... (1,001,333) $(57,965,480) 30,468 $ 9,779,254 ========== ============ ========== =============
SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 ----------------- ----------------- SHARES AND AMOUNT SHARES AND AMOUNT ----------------- ----------------- ENDEAVOR MONEY MARKET PORTFOLIO: Sold .............................. $ 429,947,066 $ 636,366,837 Issued as reinvestment of dividends 2,917,649 6,616,501 Redeemed .......................... (293,589,839) (653,130,243) ------------- ------------- Net increase/(decrease) ........... $ 139,274,876 $ (10,146,905) ============= =============
SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ JANUS GROWTH PORTFOLIO: Sold .............................. 396,294 $ 3,677,158 488,580 $ 5,642,963 Issued as reinvestment of dividends 69,700 660,056 261,676 3,027,588 Redeemed .......................... (311,485) (2,976,555) (784,900) (9,239,871) -------- ----------- -------- ----------- Net increase/(decrease) ........... 154,509 $ 1,360,659 (34,644) $ (569,320) ======== =========== ========= =========== SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ T. ROWE PRICE EQUITY INCOME PORTFOLIO: Sold .............................. 1,256,373 $ 24,201,257 1,052,741 $ 19,072,302 Issued as reinvestment of dividends 1,373,889 25,650,510 1,536,047 27,126,583 Redeemed .......................... (938,818) (18,040,678) (2,981,777) (54,011,760) ---------- ------------ ---------- ------------ Net increase/(decrease) ........... 1,691,444 $ 31,811,089 (392,989) $ (7,812,875) ========== ============ ========== ============ SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ T. ROWE PRICE GROWTH STOCK PORTFOLIO: Sold .............................. 561,420 $ 13,107,767 1,481,808 $ 41,586,694 Issued as reinvestment of dividends 1,785,116 37,148,259 1,080,794 27,592,678 Redeemed .......................... (1,089,467) (24,910,815) (999,751) (27,811,806) ---------- ------------ ---------- ------------ Net increase ...................... 1,257,069 $ 25,345,211 1,562,851 $ 41,367,566 ========== ============ ========== ============ SIX MONTHS ENDED YEAR ENDED 06/30/01 12/31/00 --------------------------- ----------------------------- SHARES AMOUNT SHARES AMOUNT --------- ------------ ---------- ------------ T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO: Sold .............................. 11,887,272 $ 163,590,563 27,448,760 $ 488,619,467 Issued as reinvestment of dividends 3,171,414 33,965,844 1,401,999 22,922,682 Redeemed .......................... (12,767,212) (176,194,921) (27,502,778) (491,978,015) ----------- ------------- ----------- ------------- Net increase ...................... 2,291,474 $ 21,361,486 1,347,981 $ 19,564,134 =========== ============= =========== ============= - --------------- # Capital Guardian U.S. Equity Portfolio commenced operations on October 9, 2000.
79 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) 5. ORGANIZATION COSTS Organization costs are amortized on a straight-line basis over a period of five years from the commencement of operations of each Portfolio which commenced operations prior to July 1, 1998. For portfolios commencing operations after July 1, 1998, organization costs are expensed as they occur. In the event that any of the initial shares (Capital Guardian Global Portfolio--10 shares, Capital Guardian Value Portfolio--10 shares, Dreyfus Small Cap Value Portfolio--10 shares, Dreyfus U.S. Government Securities Portfolio--10 shares, Endeavor Asset Allocation Portfolio--10,000 shares, Endeavor Enhanced Index Portfolio--10 shares, Endeavor High Yield Portfolio--10 shares, Endeavor Money Market Portfolio--100,000 shares, Jennison Growth Portfolio--10 shares, T. Rowe Price Equity Income Portfolio--10 shares, T. Rowe Price Growth Stock Portfolio--10 shares and T. Rowe Price International Stock Portfolio--10,000 shares) owned by a separate account of PFL Life Insurance Company are redeemed during such amortization period, the redemption proceeds will be reduced for any unamortized organization costs in the same proportion as the number of shares redeemed bears to the number of initial shares outstanding at the time of the redemption. The Trust bears the expense of registering and qualifying the shares of the various Portfolios for distribution under Federal and state securities regulations. As of June 30, 2001, all such costs for Capital Guardian Value Portfolio, Dreyfus Small Cap Value Portfolio, Dreyfus U.S. Government Securities Portfolio, Endeavor Asset Allocation Portfolio, Endeavor Money Market Portfolio, T. Rowe Price Equity Income Portfolio, T. Rowe Price Growth Stock Portfolio and T. Rowe Price International Stock Portfolio have been fully amortized. 6. CONCENTRATION OF RISK The Portfolios may invest in foreign securities. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in the securities of U.S. companies and the U.S. government. These risks include re-valuation of currencies and future adverse political and economic developments. These risks are heightened for investments in emerging market countries. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. Endeavor High Yield Portfolio invests in securities offering high current income which generally will be in the lower rating categories of recognized ratings agencies (so-called "junk bonds"). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. Each Portfolio may invest up to 15% (10% with respect to Endeavor Money Market Portfolio) of its net assets in illiquid securities, including securities that are not readily marketable, securities that are restricted as to disposition under Federal securities laws or otherwise, repurchase agreements maturing in more than seven days, interest only and principal only mortgage-backed securities, certain options traded in the over-the-counter market and the securities to which such options relate. In purchasing securities which cannot be sold by a Portfolio without registration under the Securities Act of 1933, as amended, a Portfolio will endeavor to obtain the right to registration at the expense of the issuer. There generally will be a lapse of time between the decision by a Portfolio to sell any such security and the registration of the security permitting the sale. During any such period, the security will be subject to market fluctuations. 80 NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) ENDEAVOR SERIES TRUST JUNE 30, 2001 (UNAUDITED) 7. PORTFOLIO APPRECIATION AND DEPRECIATION At June 30, 2001, aggregate gross unrealized appreciation for all securities in which there was an excess of value over cost and aggregate gross unrealized depreciation for all securities in which there was an excess of cost over value were as follows:
NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION/ APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ -------------- Capital Guardian Global Portfolio ............... $ 3,488,915 $ 6,833,890 $ (3,344,975) Capital Guardian U.S. Equity Portfolio .......... 3,187,981 3,289,324 (101,343) Capital Guardian Value Portfolio ................ 26,126,559 5,751,957 20,374,602 Dreyfus Small Cap Value Portfolio ............... 22,940,911 34,537,610 (11,596,699) Dreyfus U.S. Government Securities Portfolio .... 700,704 729,286 (28,582) Endeavor Asset Allocation Portfolio ............. 30,280,462 19,077,040 11,203,422 Endeavor Enhanced Index Portfolio ............... 13,470,656 16,985,665 (3,515,009) Endeavor High Yield Portfolio ................... 565,335 3,810,067 (3,244,732) Endeavor Janus Growth Portfolio ................. 35,141,035 88,769,789 (53,628,754) Jennison Growth Portfolio ....................... 1,703,730 3,224,848 (1,521,118) T. Rowe Price Equity Income Portfolio ........... 36,615,299 18,446,306 18,168,993 T. Rowe Price Growth Stock Portfolio ............ 33,596,908 16,637,327 16,959,581 T. Rowe Price International Stock Portfolio ..... 6,997,254 32,677,609 (25,680,355)
8. FEDERAL INCOME TAXES Under the current tax law, capital and currency losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended December 31, 2000, the Portfolios elected to defer capital losses and currency losses occurring between November 1, 2000 and December 31, 2000 as follows: CAPITAL LOSSES CURRENCY LOSSES -------------- ----------------- Capital Guardian Global Portfolio............. $ 175,226 -- Capital Guardian Value Portfolio.............. 81,947 -- Dreyfus Small Cap Value Portfolio............. 607,066 -- Dreyfus U.S. Government Portfolio............. 131,211 -- Endeavor Enhanced Index Portfolio............. 1,864,405 -- Endeavor High Yield Portfolio................. 59,714 $ 263 Endeavor Janus Growth Portfolio............... 12,449,565 138 Jennison Growth Portfolio..................... 704,261 -- T. Rowe Price International Stock Portfolio... -- 99,212 As of December 31, 2000, the Portfolios had available for federal tax purposes unused capital loss carryforwards as follows:
EXPIRING IN 2008 EXPIRING IN 2007 EXPIRING IN 2006 ---------------- ---------------- ---------------- Dreyfus U.S. Government Portfolio..... -- $1,556,891 -- Endeavor Enhanced Index Portfolio..... $908,838 -- -- Endeavor High Yield Portfolio......... 45,788 149,375 $84,613 Jennison Growth Portfolio............. 521,420 -- --
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